Global and National Macroeconometric Modelling: A Long-Run Structural Approach
OUP Oxford, Aug 3, 2006 - Business & Economics - 380 pages
This book provides a comprehensive description of the state-of-the-art in modelling global and national economies. It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers. The book contains a thorough description of recent developments in macroeconomics and econometrics, which should be of interest to advanced students and researchers, but is alsowritten to be accessible and helpful to practitioners in government and the private sector. The long-run structural approach is illustrated with various global and national examples, including a step-by-step description of the development and use of a model of the UK economy. Throughout, the bookemphasises the use of macroeconometric modelling in the real world and is written in a way that ensures the techniques illustrated can be replicated or applied in new contexts. The transparency and pragmatism of the modelling approach used within this book will be attractive to practitioners who need manageable and interpretable models to answer specific questions.
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National and global structural macroeconometric modelling
An economic theory of the long run
An economic theory of the short run
12 other sections not shown
benchmark model bootstrap Chapter coefﬁcients cointegrating relations cointegrating vectors columns computed conﬁdence intervals contemporaneous core model covariance matrix decomposition deﬁned deﬁnite described difﬁculties domestic DSGE models Econometrics economic theory effects empirical endogenous variables error correction example exchange rate exogenous Figure ﬁles ﬁnancial ﬁrst ﬁve forecast horizons foreign interest rates foreign output future and parameter future uncertainty generalised impulse response global identiﬁcation impulse response functions inﬂation inﬂation rate inﬂation target inﬂuence integral transforms interest rate equation Interest Rate Parity Ioumal long-run relations long-run relationships macroeconometric modelling macroeconomic model matrix monetary policy shocks moving average obtained oil price shock output growth over-identifying restrictions parameter uncertainty persistence proﬁles point forecasts price equation probability forecasts quarterly rate equation reﬂecting short-run dynamics signiﬁcant speciﬁcation stationary process statistics stochastic structural shocks target variables tion transitory components trend unit root values VECM Vector Autoregressions zero