Macro Econometric Models

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Specification, Estimation, and Analysis of Macroeconometric Models

Ray C. Fair
Specification Estimation and Analysis of Macroeconometric Models Book PDF

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 504 pages
File Size : 51,7 Mb
Release : 1984
Category : Business & Economics
ISBN : 0674831802

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Specification, Estimation, and Analysis of Macroeconometric Models by Ray C. Fair Pdf

This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent's classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models. A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little additional programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair's United States model is available from Urban Systems Research & Engineering, Inc. Anyone wanting to learn how to use large macroeconomic models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.

The Econometrics of Macroeconomic Modelling

Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen,Ragnar Nymoen
The Econometrics of Macroeconomic Modelling Book PDF

Author : Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen,Ragnar Nymoen
Publisher : Oxford University Press on Demand
Page : 361 pages
File Size : 54,8 Mb
Release : 2005
Category : Business & Economics
ISBN : 9780199246496

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The Econometrics of Macroeconomic Modelling by Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen,Ragnar Nymoen Pdf

This work describes how the discipline has adapted to changing demands by adopting new insights from economic theory and by taking advantage of the methodological and conceptual advances within time series econometrics.

Macro-econometric Models

Götz Uebe,Joachim Fischer
Macro econometric Models Book PDF

Author : Götz Uebe,Joachim Fischer
Publisher : Unknown
Page : 400 pages
File Size : 51,8 Mb
Release : 1992
Category : Business & Economics
ISBN : UOM:39015028470667

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Macro-econometric Models by Götz Uebe,Joachim Fischer Pdf

This is the second edition, essentially a completely newly written state of the art introduction into the field of macro-econometric models. Its first focus is to present the different specifications and strands of ideas of macro-econometric models, its empirical and analytical uses in economic policy, economic theory, economic history and empirical applications. It documents the intellectual achievements and performance of applied macroeconomic models in general, theoretically and by typical and representative illustrations, leading the reader to the frontiers of present research. Secondly, the book is an introductory text into the bibliography of macro models, which is the background of the monograph. Recalling the field of macro-econometric models, there are additional appendices, e.g. explaining the keywords which cover this territory of economic knowledge, and documenting the huge use of such models. A multilingual cross-reference dictionary (German, English, French, Spanish, Italian) concludes the book.

Macroeconometric Models for Portfolio Management

Jeremy Kwok
Macroeconometric Models for Portfolio Management Book PDF

Author : Jeremy Kwok
Publisher : Vernon Press
Page : 242 pages
File Size : 46,6 Mb
Release : 2021-09-07
Category : Business & Economics
ISBN : 9781648892684

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Macroeconometric Models for Portfolio Management by Jeremy Kwok Pdf

‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.

Time Series Analysis and Macroeconometric Modelling

Kenneth Frank Wallis
Time Series Analysis and Macroeconometric Modelling Book PDF

Author : Kenneth Frank Wallis
Publisher : Edward Elgar Publishing
Page : 462 pages
File Size : 40,7 Mb
Release : 1995-01-01
Category : Business & Economics
ISBN : 1782541624

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Time Series Analysis and Macroeconometric Modelling by Kenneth Frank Wallis Pdf

'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.

A History of Macroeconometric Model-building

Ronald G. Bodkin,Lawrence Robert Klein,Kanta Marwah
A History of Macroeconometric Model building Book PDF

Author : Ronald G. Bodkin,Lawrence Robert Klein,Kanta Marwah
Publisher : Aldershot, Hants, England : E. Elgar
Page : 600 pages
File Size : 49,9 Mb
Release : 1991
Category : Business & Economics
ISBN : STANFORD:36105034793674

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A History of Macroeconometric Model-building by Ronald G. Bodkin,Lawrence Robert Klein,Kanta Marwah Pdf

This major book presents, for the first time, an authoritative history of developments in macroeconometric modelling since the 1930s. It focuses in particular on the construction of mathematico-statistical models of entire economies, estimated from national accounts and other macroeconomic data. International and comparative in scope, the book contains chapters prepared by specialists from the different countries concerned. This landmark book is indispensable to an understanding of the history and development of large scale econometric models of modern economies.

Macro-econometric Models

Maria-Carmen Guisan
Macro econometric Models Book PDF

Author : Maria-Carmen Guisan
Publisher : ICFAI Books
Page : 224 pages
File Size : 46,5 Mb
Release : 2005
Category : Macroeconomics
ISBN : 9788178817781

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Macro-econometric Models by Maria-Carmen Guisan Pdf

Maria-Carmen Guisan, professor of Econometrics, University of Santiago de Compostela, Spain sets out in the footsteps of economists like Nobel Prize Laureate L R Klein, who pioneered macro-econometric modeling. Included are articles of eminent experts wh

Observers and Macroeconomic Systems

Ric D. Herbert
Observers and Macroeconomic Systems Book PDF

Author : Ric D. Herbert
Publisher : Springer Science & Business Media
Page : 329 pages
File Size : 48,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461555834

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Observers and Macroeconomic Systems by Ric D. Herbert Pdf

Observers and Macroeconomic Systems is concerned with the computational aspects of using a control-theoretic approach to the analysis of dynamic macroeconomic systems. The focus is on using a separate model for the development of the control policies. In particular, it uses the observer-based approach whereby the separate model learns to behave in a similar manner to the economic system through output-injections. The book shows how this approach can be used to learn the forward-looking behaviour of economic actors which is a distinguishing feature of dynamic macroeconomic models. It also shows how it can be used in conjunction with low-order models to undertake policy analysis with a large practical econometric model. This overcomes some of the computational problems arising from using just the large econometric models to compute optimal policy trajectories. The work also develops visual simulation software tools that can be used for policy analysis with dynamic macroeconomic systems.

Macroeconomic Modelling in a Changing World

Christopher Allen,Chris Allen,Stephen Hall
Macroeconomic Modelling in a Changing World Book PDF

Author : Christopher Allen,Chris Allen,Stephen Hall
Publisher : Unknown
Page : 362 pages
File Size : 49,9 Mb
Release : 1997-02-12
Category : Business & Economics
ISBN : UOM:39015040648134

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Macroeconomic Modelling in a Changing World by Christopher Allen,Chris Allen,Stephen Hall Pdf

Macroeconomic Modelling in a Changing World Towards a Common Approach Edited by Chris Allen and Stephen Hall Practical economic model building has changed enormously over the last twenty years. Econometrics has become much more sophisticated with the introduction of cointegration and non-stationary time series analysis. The use of economic theory in the form of complex non-linear cross equation restrictions is now much more widespread and the explicit modelling of expectations and credibility effects is more satisfactory. This has meant that the old style macroeconomic models which were complex by virtue of their size alone have been replaced by a generation of new models which embody complex theory and estimation to provide more superior forecasting and policy tools. Macroeconomic Modelling in a Changing World outlines the modelling approach which has been adopted at the Centre for Economic Forecasting at the London Business School, one of the world’s leading research institutes into macroeconomic modelling, in building its own models. Using explicit examples and illustrations, the authors examine the latest state-of-the-art models, and answer questions such as: How are modern econometrics used by model builders? How should we deal with structural change? How should expectations be modelled? How are models used in practice? Economics

Dynamic Econometrics For Empirical Macroeconomic Modelling

Ragnar Nymoen
Dynamic Econometrics For Empirical Macroeconomic Modelling Book PDF

Author : Ragnar Nymoen
Publisher : World Scientific
Page : 586 pages
File Size : 45,6 Mb
Release : 2019-07-09
Category : Business & Economics
ISBN : 9789811207532

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Dynamic Econometrics For Empirical Macroeconomic Modelling by Ragnar Nymoen Pdf

For Masters and PhD students in EconomicsIn this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.Supplementary materials and notes are available on the publisher's website.

Inside a Modern Macroeconometric Model

Alan A. Powell,Christopher W. Murphy
Inside a Modern Macroeconometric Model Book PDF

Author : Alan A. Powell,Christopher W. Murphy
Publisher : Springer Science & Business Media
Page : 465 pages
File Size : 55,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642590696

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Inside a Modern Macroeconometric Model by Alan A. Powell,Christopher W. Murphy Pdf

As Ken Wallis (1993) has pOinted out, all macroeconomic forecasters and policy analysts use economic models. That is, they have a way of going from assumptions about macroeconomic policy and the international environment, to a prediction of the likely future state of the economy. Some people do this in their heads. Increasingly though, forecasting and policy analysis is based on a formal, explicit model, represented by a set of mathematical equations and solved by computer. This provides a framework for handling, in a consistent and systematic manner, the ever-increasing amounts of relevant information. Macroeconometric modelling though, is an inexact science. A manageable model must focus only on the major driving forces in a complex economy made up of millions of households and fIrms. International economic agencies such as the IMF and OECD, and most treasuries and central banks in western countries, use macroeconometric models in their forecasting and policy analysis. Models are also used for teaching and research in universities, as well as for commercial forecasting in the private sector.

Macroeconometric Models

Władysław Welfe
Macroeconometric Models Book PDF

Author : Władysław Welfe
Publisher : Springer Science & Business Media
Page : 435 pages
File Size : 41,8 Mb
Release : 2013-02-15
Category : Business & Economics
ISBN : 9783642344688

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Macroeconometric Models by Władysław Welfe Pdf

This book gives a comprehensive description of macroeconometric modeling and its development over time. The first part depicts the history of macroeconometric model building, starting with Jan Tinbergen's and Lawrence R. Klein's contributions. It is unique in summarizing the development and specific structure of macroeconometric models built in North America, Europe, and various other parts of the world. The work thus offers an extensive source for researchers in the field. The second part of the book covers the systematic characteristics of macroeconometric models. It includes the household and enterprise sectors, disequilibria, financial flows, and money market sectors.

Challenges for Macroeconomic Modelling

W. Driehuis,M.M.G. Fase,H. den Hartog
Challenges for Macroeconomic Modelling Book PDF

Author : W. Driehuis,M.M.G. Fase,H. den Hartog
Publisher : Elsevier
Page : 500 pages
File Size : 48,6 Mb
Release : 2014-06-28
Category : Business & Economics
ISBN : 9781483294513

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Challenges for Macroeconomic Modelling by W. Driehuis,M.M.G. Fase,H. den Hartog Pdf

This book collects the revised and edited proceedings of the conference held in honour of the 50th anniversary of Professor Tinbergen's first macroeconomic policy model. Written by experts both in the field of model building and policy analysis, the contributions provide an invaluable overview of the state of the art and the use of macroeconomic models in our time.

Macroeconomic Modeling And Policy Analysis For Less Developed Countries

Mohammed F Khayum
Macroeconomic Modeling And Policy Analysis For Less Developed Countries Book PDF

Author : Mohammed F Khayum
Publisher : Routledge
Page : 217 pages
File Size : 48,5 Mb
Release : 2019-03-07
Category : Social Science
ISBN : 9780429714733

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Macroeconomic Modeling And Policy Analysis For Less Developed Countries by Mohammed F Khayum Pdf

This book provides an overview of macroeconometric modeling for less developed countries, a description of the structure and performance of Guyana's economy, an empirical testing of the model using annual data for Guyana, and a simulation approach to policy evaluation.

Macroeconometric Modeling of Japan

Shinichi Ichimura,Lawrence Robert Klein
Macroeconometric Modeling of Japan Book PDF

Author : Shinichi Ichimura,Lawrence Robert Klein
Publisher : World Scientific
Page : 493 pages
File Size : 41,6 Mb
Release : 2010
Category : Business & Economics
ISBN : 9789812834614

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Macroeconometric Modeling of Japan by Shinichi Ichimura,Lawrence Robert Klein Pdf

This book offers the representative macro-econometric models and their applications for the Japanese economy in different development stages throughout postwar years up to the present. It presents a summary of three types of macro-econometric models and analyses: ? Social accounting analyses of national income and related indices ? following the tradition of C Clark, S Kuznets, R Stone and World Bank Development Reports; ? Inter-industrial and inter-regional analyses of the Japanese economy a la W Leontief and the CGE (computable general equilibrium) type of applications to Comprehensive Development Plans; ? Macro-econometric model building for the Japanese economy and its applications with a survey of various models in Japan including the historic Osaka University ISER (Institute of Social and Economic Research) model and present day Government models. As many Asian economies are going through the stages of development that Japan has experienced for the past few decades, to them and other developing countries this book will be extremely relevant as a reference for years to come.