Chapter 9

Question 1

When are Monte Carlo simulations sometimes necessary, to analyze nonlinear econometric models?

Answer 1

Question 2

What is the meaning of probabilistic analysis?

Answer 2

Question 3

What are the four fundemental sources of forecasting uncertainty?

Answer 3

Question 4

What is measurement uncertainty? Where does it arise from?

Answer 4

Question 5

What is model uncertainty? How is often dealt with this source of error?

Answer 5

Question 6

What is parameter uncertainty? How do we usually deal with it?

Answer 6

Question 7

What is innovation uncertainty?

Answer 7

Question 8

What is the definition of a point forecast and a forecasted distribution?

Answer 8

Question 9

How do we usually do h-step-ahead forecasts of nonlinear models?

Answer 9

Question 10

How can we do h-step-ahead forecasts for time varying parameter models?

Answer 10

Question 11

What does Value at Risk (VaR) mean?

Conceptually

Answer 11

Question 12

What is the mathematical definition of VaR?

Answer 12

Question 13

What are Impulse Response Functions?

Conceptually

Answer 13

Question 14

What is the mathematical definition of an Impulse Response Function?

Answer 14