The Italian Continuous Time Model: Theory and Empirical Results

Economic Modeling, Vol. 7, pp. 91-132, April 1990

Posted: 2 May 2011

See all articles by Giancarlo Gandolfo

Giancarlo Gandolfo

Accademia dei Lincei; CESifo (Center for Economic Studies and Ifo Institute)

Pier Carlo Padoan

Sapienza University of Rome - Department of Public Economics

Date Written: December 2, 1987

Abstract

In this paper we give a detailed exposition of the fifth version of our model of the Italian economy, which is specified as a set of 24 nonlinear stochastic differential equations. We first examine its qualitative properties (steady state solution, structural stability, etc.). We then present the results of the estimation in continuous time, with particular emphasis on adjustment speeds and sensitivity analysis. Finally, we examine the in-sample and out-of-sample predictive performance of the model.

Keywords: Continuous time, Macroeconometric models, Italian economy

JEL Classification: C51, C52, C53

Suggested Citation

Gandolfo, Giancarlo and Padoan, Pier Carlo, The Italian Continuous Time Model: Theory and Empirical Results (December 2, 1987). Economic Modeling, Vol. 7, pp. 91-132, April 1990, Available at SSRN: https://ssrn.com/abstract=1825984

Giancarlo Gandolfo (Contact Author)

Accademia dei Lincei ( email )

Via della Lungara 10
Rome, 00165
Italy

HOME PAGE: http://gandolfo.org

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

Pier Carlo Padoan

Sapienza University of Rome - Department of Public Economics ( email )

via del Castro Laurenziano, 9
Rome, RM 00161
Italy
+39 6 49766366 (Phone)
+39 6 4462040/4461964 (Fax)

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