Dynamic Econometrics for Empirical Macroeconomic Modelling

DOI10.1142/11479MaRDI QIDQ5227050zbMATH OpenOpenAlexFDO

Authors Ragnar Nymoen

Publication date 5 August 2019

Full work available at URL https://doi.org/10.1142/11479

zbMATH Keywords

Bayesian methodsdifference equationstime series econometricsstochastic difference equationsmacroeconometric modellingstationary and non-stationary time seriesequilibrium conceptdynamic economicsmodel-based economic forecastingmultiple equation modelsrecursive and simultaneous equations modelstesting of empirical macromodelsvector autoregressive systems (VAR)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Linear difference equations (39A06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Economic growth models (91B62) Stochastic difference equations (39A50)

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Cited in

(14)

• Dynamic Econometrics
• Empirical modeling in dynamic econometrics
• scientific article; zbMATH DE number 2193890 (Why is no real title available?)
• The cointegrated VAR model: Methodology and applications.
• Macroeconomic Patterns and Stories
• Methods for applied macroeconomic research.
• scientific article; zbMATH DE number 3858264 (Why is no real title available?)
• Réflexions méthodologiques sur la modélisation non structurelle : une approche par les modèles vectoriels autorégressifs (VAR) et leurs extensions dynamiques
• scientific article; zbMATH DE number 7038785 (Why is no real title available?)
• scientific article; zbMATH DE number 3940576 (Why is no real title available?)
• Statistical Issues in Macroeconomic Modelling^*
• Principles of macroeconometric modeling
• On the specification and estimation of large scale simultaneous structural macroeconometric models
• Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models

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Uses Software

• R
• PcGive

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