Principles of macroeconometric modeling
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)
This book is a much revised edition of Professor Klein's ``Lectures in Econometrics (1983; Zbl 0539.62119) published twenty years ago. This antecedent can be seen as an advantage as this book covers quite a bit of material that is only superficially reviewed by the contemporary textbook. It may also make this text look a bit dated. In particular, the fancy time-series analysis à la P. C. B. Phillips is missing. The Granger-Newbold's cointegration approach and VAR analysis are only touched upon although with some deep insights one would expect from a Nobel Prize winner. NEWLINENEWLINENEWLINEThe first four chapters cover structural modeling of static economic equilibrium. Chapter 1 presents an introduction to macroeconomics for beginners and its translation in terms of econometrics, drawing attention to the dichotomy stock/flow. Chapter 2 presents the equivalent for a Centrally Planned/Transition Economy. Chapter 3 discusses the modeling of the major equations of interest in macroeconomics, i.e. aggregate supply and demand functions, production functions and capacity utilization, price-wage mechanism, and financial flows. Chapter 4 presents the UN model for international linkages, LINK. NEWLINENEWLINENEWLINEThe remaining chapters cover specific issues. Chapter 5 discusses the practice and pitfalls of simulation analysis. Chapter 6 presents a short primer on model validation. Chapter 7 covers dynamic analysis including spectral analysis, VAR, cointegration and rational expectations. Chapter 8 addresses policy analysis and simulation. Chapter 9 discusses forecasting.
- Macroeconometric models
- Inside a modern macroeconometric model. A guide to the Murphy model. With a contribution by Nicholas Conron
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- Macroeconomic modeling of Japan
- Macroeconomic Patterns and Stories
- scientific article; zbMATH DE number 3924456 (Why is no real title available?)
- The consumption-tracking theory of macroeconomic systems
- Statistical Issues in Macroeconomic Modelling*
- Fundamental Principles of Modeling in Macroeconomics
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- Dynamic Econometrics for Empirical Macroeconomic Modelling
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- Analysis in macroeconomic modelling
- The macroeconomics of Modigliani-Miller
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