Dynamic Econometrics for Empirical Macroeconomic Modelling

DOI10.1142/11479zbMATH Open1454.62002OpenAlexW2944125784MaRDI QIDQ5227050FDOQ5227050

Authors: Ragnar Nymoen 

Publication date: 5 August 2019

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

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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)

Cited In (14)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the specification and estimation of large scale simultaneous structural macroeconometric models
• Methods for applied macroeconomic research.
• Macroeconomic Patterns and Stories
• The cointegrated VAR model: Methodology and applications.
• Dynamic Econometrics
• Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models
• Empirical modeling in dynamic econometrics
• Réflexions méthodologiques sur la modélisation non structurelle : une approche par les modèles vectoriels autorégressifs (VAR) et leurs extensions dynamiques
• Statistical Issues in Macroeconomic Modelling^*
• Principles of macroeconometric modeling

Uses Software

• R
• PcGive

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