Specification Estimation And Analysis Of Macroeconometric Models

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 504 pages
File Size : 43,7 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.

Author : Kenneth Frank Wallis
Publisher : Edward Elgar Publishing
Page : 462 pages
File Size : 43,9 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.

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 462 pages
File Size : 44,6 Mb
Release : 1994
Category : Business & Economics
ISBN : 0674875036

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Testing Macroeconometric Models by Ray C. Fair Pdf

In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.

Author : Władysław Welfe
Publisher : Springer Science & Business Media
Page : 435 pages
File Size : 46,9 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.

Author : Ray C. FAIR,Ray C Fair
Publisher : Harvard University Press
Page : 314 pages
File Size : 46,7 Mb
Release : 2009-06-30
Category : Business & Economics
ISBN : 9780674036635

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Estimating How the Macroeconomy Works by Ray C. FAIR,Ray C Fair Pdf

Macroeconomics tries to describe and explain the economywide movement of prices, output, and unemployment. The field has been sharply divided among various schools, including Keynesian, monetarist, new classical, and others. It has also been split between theorists and empiricists. Ray Fair is a resolute empiricist, developing and refining methods for testing theories and models. The field cannot advance without the discipline of testing how well the models approximate the data. Using a multicountry econometric model, he examines several important questions, including what causes inflation, how monetary authorities behave and what are their stabilization limits, how large is the wealth effect on aggregate consumption, whether European monetary policy has been too restrictive, and how large are the stabilization costs to Europe of adopting the euro. He finds, among other things, little evidence for the rational expectations hypothesis and for the so-called non-accelerating inflation rate of unemployment (NAIRU) hypothesis. He also shows that the U.S. economy in the last half of the 1990s was not a new age economy.

Author : Charles G. Renfro
Publisher : IOS Press
Page : 420 pages
File Size : 45,6 Mb
Release : 2004
Category : Business & Economics
ISBN : 158603426X

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Computational Econometrics by Charles G. Renfro Pdf

This publication contains a substantial amount of detail about the broad history of the development of econometric software based on the personal recollections of many people. For economists, the computer has increasingly become the primary applied research tool, and it is software that makes the computer work.

Author : Götz Uebe,Joachim Fischer
Publisher : Unknown
Page : 400 pages
File Size : 53,6 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.

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.

Author : Gunnar Bårdsen,Øyvind Eitrheim,Eilev S. Jansen
Publisher : Advanced Texts in Econometrics
Page : 368 pages
File Size : 50,8 Mb
Release : 2005
Category : Business & Economics
ISBN : STANFORD:36105114112464

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

Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models ofexpectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaursto which they often have been likened, macroeconometric models have never completely disappeared from the scene.This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theoryand taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years.The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model ofincomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway.The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodelRIMINI and the inflation models of earlier chapters as case studies.

Author : S.G. Hall,S.G.B. Henry
Publisher : Elsevier
Page : 426 pages
File Size : 41,9 Mb
Release : 2014-06-28
Category : Business & Economics
ISBN : 9781483295473

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Macroeconomic Modelling by S.G. Hall,S.G.B. Henry Pdf

This book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself. An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.

Author : Francis X. Diebold,Glenn D. Rudebusch
Publisher : Princeton University Press
Page : 442 pages
File Size : 43,5 Mb
Release : 1999-04-12
Category : Business & Economics
ISBN : 0691012180

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Business Cycles by Francis X. Diebold,Glenn D. Rudebusch Pdf

Table of Contents

Author : M.J. Vilares
Publisher : Springer Science & Business Media
Page : 265 pages
File Size : 43,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789400943704

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Structural Change in Macroeconomic Models by M.J. Vilares Pdf

This book grew out of a 'Doctorat D'Etat' thesis presented at the University of Dijon-Institut Mathematique Economiques (lME). It aims to show that quantity rationing theory provides the means of improving macroeconometric modelling in the study of struc tural changes. The empirical results presented in the last chapter (concerning Portuguese economy) and in the last Appendix (con cerning the French economy), although preliminary, suggested that the effort is rewarding and should be continued. My debts are many. An important part of the research work was accomplished during my visit to the Institut National de la Statistique et des Etudes Economiques (lNSEE, Paris), where I have beneficted from stimulating discussions (particularly with P. Villa) and infor matical support. I have also received comments and suggestions from R. Quandt, J.-J. Laffont, P. Kooiman and P.-Y. Henin. I am specially indebted to P. Balestra for encouraging and valuable discussions, particularly in the field of econometric methods. My thanks go also to an anonymous referee. His constructive criticism and suggestions resulted in a number of improvements to an earlier version of this book. I cannot forget my friend A. Costa from BP A (Porto) who has helped me in the preparation of this work. Last but not least, I would like to thank my wife for her encouragement and patience throughout these years. Of course, I am the only one responsible for any remaining errors.

Author : Mohammed F Khayum
Publisher : Routledge
Page : 215 pages
File Size : 42,9 Mb
Release : 2019-03-07
Category : Social Science
ISBN : 9780429694721

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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.

Author : James R. Malley
Publisher : Unknown
Page : 28 pages
File Size : 52,7 Mb
Release : 1990
Category : Economic forecasting
ISBN : UIUC:30112018924271

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The Specification, Estimation, and Simulation of a Small Global Macroeconomic Model by James R. Malley Pdf

Author : David N. DeJong,Chetan Dave
Publisher : Princeton University Press
Page : 440 pages
File Size : 54,5 Mb
Release : 2011-10-23
Category : Business & Economics
ISBN : 9780691152875

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Structural Macroeconometrics by David N. DeJong,Chetan Dave Pdf

Provides an overview and exploration of methodologies, models, and techniques used to analyze forces shaping national economies. This title presents a range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian.