Econometric Business Cycle Research

Front Cover
Springer Science & Business Media, Sep 30, 1998 - Business & Economics - 228 pages
Econometric Business Cycle Research deals with econometric business cycle research (EBCR), a term introduced by the Nobel-laureate Jan Tinbergen for his econometric method of testing (economic) business cycle theories. EBCR combines economic theory and measurement in the study of business cycles, i.e., ups and downs in overall economic activity. We assess four methods of EBCR: business cycle indicators, simultaneous equations models, vector autoregressive systems and real business indicators. After a sketch of the history of the methods, we investigate whether the methods meet the goals of EBCR: the three traditional ones, description, forecasting and policy evaluation, and the one Tinbergen introduced, the implementation|testing of business cycles. The first three EBCR methods are illustrated for the Netherlands, a typical example of a small, open economy.
The main conclusion of the book is that simultaneous equation models are the best vehicle for EBCR, if all its goals are to be attained simultaneously. This conclusion is based on a fairly detailed assessment of the methods and is not over-turned in the empirical illustrations. The main conclusion does not imply the end of other EBCR methods. Not all goals have to be met with a single vehicle, other methods might serve the purpose equally well - or even better. For example, if one is interested in business cycle forecasts, one might prefer a business cycle indicator or vector autoregressive system.
A second conclusion is that many ideas/concepts that play an important role in current discussions about econometric methodology in general and EBCR in particular, were put forward in the 1930s and 1940s.
A third conclusion is that it is difficult, if not impossible, to compare the outcomes of RBC models to outcomes of the other three methods, because RBC modellers are not interested in modelling business cycles on an observation-per-observation basis. A more general conclusion in this respect is that methods should adopt the same concept of business cycles to make them comparable.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Introduction
1
12 Aim
4
13 Outline
6
Background
7
212 Tinbergen
8
213 The Tinbergen debate
10
214 The HaavelmoCowles Commission research programme
11
215 Measurement without theory
12
The IBSCCSO model a SEM of the Netherlands
73
511 Data simulation and quality control
74
512 A birdseye view on the model
75
513 Econometric technology
76
52 The financial sphere
77
522 Estimation
80
53 The real sphere
97
531 Supply
98

216 Friedman Lucas and Sims
13
217 The LucasKydlandPrescott alternative
15
218 The LSE methodology
17
22 Cointegration
18
221 Typology of trends and stationarity
19
222 Unit root testing
20
223 Cointegration modelling approaches
21
23 Seasonality
24
24 Concluding remarks
26
Assessment
27
312 Simultaneous equations models SEM
29
313 The vector autoregressive approach VAR
31
314 Real business cycle RBC models
32
32 The theorymeasurement distinction
34
33 Description
37
34 Forecasting
42
35 Policy evaluation
43
36 Role of theory
44
37 Concluding remarks
47
The CCSO composite leading indicator a BCI of the Netherlands
49
41 Measuring business cycles
50
42 Detrending
51
43 Methodology
56
44 The CCSO composite leading indicator
58
45 Three business cycle indicators of the Netherlands
63
46 March 1997 forecast
69
47 Concluding remarks
71
532 Demand and prices
102
533 Labour
110
534 Government
112
54 Performance
118
542 Dynamic multipliers
122
543 Analyzing forecasts
130
55 Concluding remarks
144
VARing the economy of the Netherlands
145
61 Exogeneity
146
62 From VAR to VARX
147
63 Data and weak exogeneity test outcomes
148
estimates and analyses
153
65 Comparison of simulation outcomes
159
66 Concluding remarks
161
Summary and conclusions
163
72 Conclusions
165
73 Research agenda
166
Appendices
169
The Johansen approach estimators and test statistics
171
The IBSCCSO model equations variables and graphs
174
B12 The real submodel
181
B2 List of variables
188
B3 Graphs
197
Bibliography
205
Author Index
221
Subject Index
225
Copyright

Other editions - View all

Common terms and phrases

Bibliographic information