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Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models

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  • Touhami Abdelkhalek
  • Jean-Marie Dufour

Abstract

To assess the uncertainty of calibrated parameters in computable general equilibrium (CGE), we study two methods for building confidence sets on these parameters. The first method uses a projection technique from (sampling or Bayesian) confidence sets on the free parameters of a deterministic CGE model. The second one allows for random disturbances in the equations of the model and exploits simulation techniques. Applications to CGE models of the Moroccan economy are presented.

Suggested Citation

  • Touhami Abdelkhalek & Jean-Marie Dufour, 2006. "Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models," Annals of Economics and Statistics, GENES, issue 81, pages 1-31.
    • Handle: RePEc:adr:anecst:y:2006:i:81:p:1-31
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    References listed on IDEAS

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    1. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-494, March.
    2. Devaragan, Shantayanan & Lewis, Jeffrey D. & Robinson, Sherman, 1990. "Policy lessons from trade-focused, two-sector models," Journal of Policy Modeling, Elsevier, vol. 12(4), pages 625-657.
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    Cited by:

    1. Nabil Annabi & John Cockburn & Bernard Decaluwé, 2006. "Functional Forms and Parametrization of CGE Models," Working Papers MPIA 2006-04, PEP-MPIA.
    2. Marouani, Mohamed A. & Robalino, David A., 2008. "Assessing interactions among education, social insurance, and labor market policies in a general equilibrium framework: an application to Morocco," Policy Research Working Paper Series 4681, The World Bank.

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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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