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"Estimating Event Probabilities in Macroeconometric Models using Stochastic Simulation," in J. Stock and M. Watson (eds.), Business Cycles, Indicators, and Forecasting, The University of Chicago Press, 1993, 157-176.
pdf file (879KB).

Abstract

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Comments

This paper discusses how stochastic simulation can be used to estimate event probabilities in econometric models. The US model is used for the applications. The material in Chapter 7, Section 7.9, and Chapter 8, Section 8.8, in 1994#2 is based on this paper.