Econometric Modelling: Techniques and Applications
Sean Holly, Martin Weale, Brian Corby
Cambridge University Press, Sep 14, 2000 - Business & Economics - 296 pages
Macroeconomic modeling has been one of the most important and influential areas of economic research. This book presents contributions from the leading researchers working in this area as part of the ongoing research project sponsored by the Economic and Social Research Council, Bank of England and UK Treasury. The papers combine a description of the latest techniques used in modeling the economy with an account of the way that models can be used for purposes of policy analysis. It is designed for use by advanced students and professional economists.
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General equilibrium modelling of UK tax policy
A structural cointegrating VAR approach
Unemployment the natural rate and structural change
Macroeconomic models at the Bank of England
Estimated stabilisation costs of the EMU
How tough should monetary policy be if inflation
Technical progress and the natural rate in models
The conduct of monetary policy when the business
adjustment analysis approach Bank of England behaviour business cycle capital cent changes Clements and Hendry cointegrating costs countries deflation demand deterministic dynamic econometric econometric models Economic Forecasting effects empirical EMU regime equation estimated example exogenous Figure forecast errors forecast horizon HM Treasury household important impulse responses income increase inflation rate inflation target interest rate reaction investment Journal labour market large-scale models linear long-run macroeconometric models Macroeconomic Modelling monetary policy NAIRU nominal interest rates non-linear optimisation output gap output growth outturn parameters period Pesaran Phillips curve policy rule price equation price level productivity rate reaction functions rational expectations real business cycle real exchange rate real interest rates real wage relationships restrictions sample sector shocks short-run short-term interest rate simple rule stabilisation statistics stochastic simulation structural breaks tax models tax rate technical progress tests theory tion transmission mechanism unemployment values variables variance Wald tests