A modified procedure for simulation of macroeconometric models |
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Authors: | Rosemary Rossiter |
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Affiliation: | The author is with the Department of Economics, Copeland Hall, Ohio University, Athens, OH 45701, USA |
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Abstract: | The rational expectations literature suggests that even the effects of unanticipated changes in policy variables may not be accurately described by conventionalsimulations of macroeconometric models. Beginning with Zellner and Palm's time-series approach to structural econometric modelling, a modified simulation procedure is developed to examine the effects of changes in policy variables which are consistent with historic time-series processes. A state-space representation and the Akaike Information Criterion are used to model exogenous variable processes, and results from modified and conventional simulations are compared. |
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Keywords: | Economic modelling Macroeconometric models Simulation |
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