Chapter

National and global structural macroeconometric modelling

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

in Global and National Macroeconometric Modelling

Published in print August 2006 | ISBN: 9780199296859
Published online September 2006 | e-ISBN: 9780191603853 | DOI: http://dx.doi.org/10.1093/0199296855.003.0003
 National and global structural macroeconometric modelling

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This chapter describes a framework for macroeconometric modelling, which draws out the links with economic theory relating to the long run and with theory relating to the short run. It elaborates a modelling strategy that can be employed to accommodate directly the theory of the long run, and notes the ways in which short-run theory can also be accommodated in national and global models. Recent literature on modelling short-run dynamics is reviewed, highlighting the difficulties in obtaining consensus on appropriate short-run restrictions and commenting on the approaches taken in the literature in examining policy shocks in general, and monetary policy in particular.

Keywords: identification; long-run restrictions; short-run restrictions; error correction model; modelling strategy; policy shocks; monetary policy

Chapter.  14339 words. 

Subjects: Econometrics and Mathematical Economics

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