The stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of...

The estimation of limited dependent variable panel data models usually involves objective functions in which integrals appear without a closed form solution: this is the case of the panel data Tobit model with random effects. Recently, simulation methods have shown to be useful in the inference...

An Interactive Management of Time Series user can create new functions which cannot be reconstructed by means of existing functions, and use them as operators of the language.

For multivariate datasets with missing values, we present a procedure of statistical inference and state its "optimal" properties. Two main assumptions are needed: (1) data are missing at random (MAR); (2) the data generating process is a multivariate normal linear regression. Disentangling the...

The complete validation of an econometric model is a process which involves a formidable number of activities in the various steps of model building, like economic structure specification, test of hypothesis and parameter estimation, simulation behaviour and decision making. Our attention will...

In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details,...

This paper presents a Monte-Carlo study on the practical reliability of numerical algorithms for FIML-estimation in nonlinear econometric models. The performance of different techniques of Hessian approximation in trust-region algorithms is compared regarding their "robustness" against "bad"...

This paper is a survey (in Italian) of the estimation methods for econometric systems of nonlinear simultaneous equations

Purpose of this paper is the description of the tecniques used to generate pseudo-random numbers, to be added as disturbance terms to the stochastic structural equations of econometric models. These disturbance terms should have the same statistical properties as the residuals obtained, in each...

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...