Statistical inference for computable general equilibrium models, with application to a model of the Moroccan economy

• 成果类型: Article
• 署名作者: Abdelkhalek, T; Dufour, JM
• 署名单位: Universite de Montreal
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465398557807
• 发表日期: 1998-11
• 页码: 520-534
• 关键词: exact tests; linear regressions; dynamic-models; TRADE

摘要

We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Bayesian) is available for the free parameters, from which confidence sets are derived by a projection technique. The latter has two advantages: first, confidence set validity is not affected by model nonlinearities; second, we can easily build simultaneous confidence intervals for an unlimited number of variables. We study conditions under which these confidence sets take the form of intervals and show how they can be implemented using standard methods for solving CGE models. We present an application to a CGE model of the Moroccan economy to study the effects of policy-induced increases of transfers from Moroccan expatriates.