Book

Global and National Macroeconometric Modelling

Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin

Published in print August 2006 | ISBN: 9780199296859
Published online September 2006 | e-ISBN: 9780191603853 | DOI: http://dx.doi.org/10.1093/0199296855.001.0001
Global and National Macroeconometric Modelling

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This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to construct a macroeconometric model, in which the long-run relationships are consistent with economic theory and where the short-run dynamics have an interpretation. The discussion considers theoretical as well as practical considerations involved in the model building process, and gives an overview of the econometric methods covering cointegrating VAR analysis and probability forecasting. The second part of the book is devoted to the practical detail of estimating a long-run structural macroeconometric model and is illustrated through various global and national examples, including a step-by-step description of the development of a model of the UK economy. The third part discusses the interpretation and use of long-run structural macroeconometric models, describing the use of the UK model along with illustrations of the modelling approach in investigating regional interdependencies in a global macroeconometric model and other specified issues in a global or national macroeconometric context. Throughout, the book emphasizes the use of macroeconometric modelling in the real world and provides sufficient detail, including discussion of data collection and computer programmes employed, for the techniques that are introduced to be replicated or applied in new contexts.

Keywords: macroeconomic model; cointegration; probability; forecasting; UK economy; global model; macroeconomic policy; macroeconomic decision-making

Book.  400 pages.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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Table of Contents

Introduction in Global and National Macroeconometric Modelling

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Macroeconometric modelling: Alternative approaches in Global and National Macroeconometric Modelling

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National and global structural macroeconometric modelling in Global and National Macroeconometric Modelling

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An economic theory of the long run in Global and National Macroeconometric Modelling

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An economic theory of the short run in Global and National Macroeconometric Modelling

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Econometric methods: A review in Global and National Macroeconometric Modelling

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Probability forecasting: Concepts and analysis in Global and National Macroeconometric Modelling

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The UK macroeconomy in Global and National Macroeconometric Modelling

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A long-run structural model of the UK in Global and National Macroeconometric Modelling

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Impulse response and trend/cycle properties of the UK model in Global and National Macroeconometric Modelling

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