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On the restricted reduced form of the Klein-I model: revised computations to complete "A note on the numerical results by Goldberger, Nagar and Odeh", Econometrica, 47 (1979)

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

The numerical example which completes the paper by Goldberqer, Nagar and Odeh, on the estimated asymptotic covariance matrix of the reduced form coefficients for the Klein-I model estimated by Two Stage Least Squares (2SLS), has led to some misinterpretations of the properties of the model. In this paper, revised computations are presented, completing, with numerical tables, the note recently published by the authors in Econometrica. The authors would like to thank proff. L.R.Klein and P.Schmidt for encouraging the publication of these results. They are particularly grateful to H.Eisenpress for helpful comments and corrections of errors in an earlier draft.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "On the restricted reduced form of the Klein-I model: revised computations to complete "A note on the numerical results by Goldberger, Nagar and Odeh", Econometrica, 47 (1979)," MPRA Paper 24137, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24137
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    References listed on IDEAS

    as
    1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-236, January.
    2. Havenner, Arthur M, 1976. "Computer Algorithm: Derived Reduced Form Coefficient Covariances," Econometrica, Econometric Society, vol. 44(4), pages 836-836, July.
    3. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-164, January.
    4. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Note on the Numerical Results by Goldberger, Nagar, and Odeh," Econometrica, Econometric Society, vol. 47(2), pages 505-506, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Klein-I model; reduced form; coefficients covariance matrix; forecast; simultaneous confidence intervals; standard errors of multipliers;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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