APPLIED MACROECONOMETRICS by Favero, Carlo ISBN 0198296851
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[edit] APPLIED MACROECONOMETRICS
The objective of this book is the discussion and the practical illustration of three competing techniques used in applied macroeconometrics: the LSE approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach.
The objective of this book is the discussion and the practical illustration of techniques used in applied macroeconometrics. Until the 1970s, there was a consensus in applied macroeconometrics, both regarding the theoretical foundation and the empirical specification of macroeconometric modelling, commonly known as the Cowles Commission approach. This is no longer the case: the Cowles Commission approach broke down in the 1970s, replaced by three prominent competing methods of empirical research: the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. This book discusses and illustrates the empirical research strategy of these three alternative approaches by interpreting them as different proposals to solve problems observed in the Cowles Commission approach. The presentation of each methodological approach is paired with extensive discussions and replications of the relevant empirical work. The bulk of empirical illustrations is related to the monetary transmission mechanism by considering benchmark data-set for the US and UK economies, meaning that there is a common benchmark to compare different methodologies. Our presentation is based on the conviction that the oldest concept in econometrics, namely identification, provides a natural unified framework to discuss the collapse of Cowles Commission models and the three alternative strategies currently dominating research. Therefore, in the first part of the book we introduce time series models and discuss extensively the importance of identification for time-series models. In the second part of the book we illustrate the Cowles Commission approach and the three alternative approaches providing detailed applications of each methodology. Applications presented in the book are performed by using different packages, such as E-VIEWs, PC-GIVE, PC-FIML, RATS and MATLAB.
[edit] Book Details
[edit] Title
APPLIED MACROECONOMETRICS
[edit] Author
Favero, Carlo
[edit] ISBN
0198296851
[edit] Published
11/01/2001
[edit] Publisher
Oxford University Press
[edit] Binding
paperback
[edit] Retail Price
24.99 (GBP)
[edit] Typical Price Online
23.74 (GBP)
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