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Nonlinear simulation analysis in continuous time econometric models

✍ Scribed by Pier Carlo Padoan

Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
509 KB
Volume
24
Category
Article
ISSN
0898-1221

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✦ Synopsis

AbstractnThis paper discusses the use of simulation Analysis in continuous time econometric models. Continuous time models are formulated as nonlinear systems d dlsequWbrium difl'eventbd equations. They are linearized for estimation purposes (FIML). However slnmlaticm analysis is carried out with the original nonlinear system. Such an analysis provides useful insights on the properties of the model which are not always understandable from estimation and qualitative analysk. Examples derived from alternative financial liberalization regimes in the Italian econon~, are provided.

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