The econometrics of macroeconomic modelling
This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years.
About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
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Methodological issues of largescale macromodels
the maincourse model
The Phillips curve
12 other sections not shown
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aggregate assumption Aukrust's Bardsen bias changes Chapter coefficient cointegrating relationship conditional denoted dummies econometric model empirical encompassing tests EqCM equilibrium correction estimated Euro area evaluation example Figure forecast error growth rate Hendry implies inflation equation inflation forecast inflation models inflation targeting information set interest rate rules labour lagged long-run loss function Lucas critique macroeconometric models macroeconomic models mis-specification model of inflation monetary policy money demand NAIRU natural rate Norway NPCM Nymoen open economy output gap output growth p-values P*-model parameters Phillips curve Phillips curve model price equation price-setting productivity rate of inflation rate of unemployment rational expectations real exchange rate real wage recursive reduced form relative residuals restrictions RMSTE sample Section sector shows simulations specification stable standard errors statistical steady-state Table theory transmission mechanism unem wage and price wage curve wage equation wage growth wage share wage-setting