Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
非线性联立系统中基于残差的预测与估计程序
This paper proposes the residual-based stochastic predictor as an alternative procedure for obtaining forecasts with a static nonlinear econometric model. This procedure modifies the usual Monte Carlo approach to stochastic simulations of the model in that calculated residuals over the sample period are used as proxies for disturbances instead of random draws from some assumed parametric distribution. In compar-ison with the Monte Carlo predictor, the residual-based should…