On the role of simulation in the statistical evaluation of econometric models
type: Item
instance of: scholarly article
title: On the role of simulation in the statistical evaluation of econometric models
zbMATH Open document ID: 0668.62078
DOI: 10.1016/0304-4076(89)90033-X
published in: Journal of Econometrics
publication date: 1989-01-01T00:00:00Z
review text: Macro model builders routinely utilise the techniques of dynamic and static simulation for model selection and evaluation, as well as for discovering the properties of their models. Some researchers have suggested that the output of these simulations might be used for the purpose of formally evaluating models. The present paper looks at what information is conveyed by such simulations. It is argued that, because of relationships existing between the simulation residuals and estimation residuals, no new information is forthcoming from a simulation. Current proposals using simulation output for the purpose of model evaluation are analysed and it is shown that the same information could be extracted by a thorough analysis of the estimation residuals.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 4094639
zbMATH Keywords: model selection
zbMATH Keywords: simulation residuals
zbMATH Keywords: estimation residuals
zbMATH Keywords: model evaluation
author: Adrian Pagan
MaRDI profile type: Publication
cites work: Econometric Evaluation of Linear Macro-Economic Models
cites work: On the formulation of empirical models in dynamic econometrics
cites work: Q3792120
cites work: Diagnostic tests as residual analysis
full work available at URL: 0304-4076(89)90033-x
OpenAlex ID: W2044498498
description: scientific article; zbMATH DE number 4094639