Estimating the Uncertainty of Policy Effects in Nonlinear Models
提出用随机模拟方法估计非线性宏观计量经济模型中政策效应的渐近方差，并以一个具体模型的八项政策实验为例展示该方法，帮助研究者评估政策结果的置信度。
asymptotic variances of multipliers for nonlinear models. It is used to estimate the uncertainty of the results of eight policy experiments for a particular model. ALTHOUGH MACROECONOMETRIC MOI)ELS are widely used to analyze the effects of alternative government actions on the economy, estimates of the uncertainty of these effects are rarely, if ever, presented. This is, of course, not surprising, since most macroeconometric models are nonlinear. Unlike for linear models, formulas for the asymptotic variances of impact and dynamic multipliers are not known for nonlinear models. ’ It is possible, however, to estimate these variances for nonlinear models by stochastic simulation, and the purpose of this paper is to discuss the method by which this can be done. The method is discussed in Section 2, and results of applying the method to eight policy experiments for the model in Fair [7,10] are presented in Section 3.3 Given the obvious importance of knowing how much confidence to place on the results of any particular policy experiment in a model, it is hoped that this study will stimulate others to obtain uncertainty estimates for their models similar to those presented in Section 3. 2. THE METHOD The. method can be applied to a model that is nonlinear in both variables and coefficients. Let G denote the total number of equations in the model, M the number of stochastic equations, and N the total number of predetermined (both exogenous and lagged endogenous) variables. Assume (for exposition.4 con-venience only) that the model is quarterly, and let the ith equation of the model for quarter t be written: (1) CpdYi,, YGh Zlb, ZN,,