Can Long-run Restrictions Identify Technology Shocks?
Author: Christopher J. Erceg
Publisher:
Published: 2004
Total Pages: 56
ISBN-13:
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Essays in Nonlinear Time Series Econometrics
Author: Niels Haldrup
Publisher: Oxford University Press, USA
Published: 2014-05
Total Pages: 393
ISBN-13: 0199679959
DOWNLOAD EBOOKA book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Structural Vector Autoregressive Analysis
Author: Lutz Kilian
Publisher: Cambridge University Press
Published: 2017-11-23
Total Pages: 758
ISBN-13: 1108195288
DOWNLOAD EBOOKStructural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
Handbook of Macroeconomics
Author: John B. Taylor
Publisher: North Holland
Published: 1999-12-13
Total Pages: 596
ISBN-13:
DOWNLOAD EBOOKThis text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations, as well as the consequences of monetary and fiscal policies for general economic conditions.
Handbook of Research Methods and Applications in Empirical Macroeconomics
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
Published: 2013-01-01
Total Pages: 627
ISBN-13: 0857931024
DOWNLOAD EBOOKThis comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Macroeconomic Survey Expectations
Author: Michael P. Clements
Publisher: Springer
Published: 2018-12-31
Total Pages: 205
ISBN-13: 3319972235
DOWNLOAD EBOOKWhy should we be interested in macroeconomic survey expectations? This important book offers an in-depth treatment of this question from a point of view not covered in existing works on time-series econometrics and forecasting. Clements presents the nature of survey data, addresses some of the difficulties posed by the way in which survey expectations are elicited and considers the evaluation of point predictions and probability distributions. He outlines how, from a behavioural perspective, surveys offer insight into how economic agents form their expectations.
International Finance Discussion Papers
Author:
Publisher:
Published: 1972
Total Pages: 64
ISBN-13:
DOWNLOAD EBOOKAggregate Money Demand Functions
Author: Dennis L. Hoffman
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 273
ISBN-13: 9400918143
DOWNLOAD EBOOKThe econometric consequences of nonstationary data have wide ranging im plications for empirical research in economics. Specifically, these issues have implications for the study of empirical relations such as a money demand func tion that links macroeconomic aggregates: real money balances, real income and a nominal interest rate. Traditional monetary theory predicts that these nonsta tionary series form a cointegrating relation and accordingly, that the dynamics of a vector process comprised of these variables generates distinct patterns. Re cent econometric developments designed to cope with nonstationarities have changed the course of empirical research in the area, but many fundamental challenges, for example the issue of identification, remain. This book represents the efforts undertaken by the authors in recent years in an effort to determine the consequences that nonstationarity has for the study of aggregate money demand relations. We have brought together an empirical methodology that we find useful in conducting empirical research. Some of the work was undertaken during the authors' sabbatical periods and we wish to acknowledge the generous support of Arizona State University and Michigan State University respectively. Professor Hoffman wishes to acknowledge the support of the Fulbright-Hays Foundation that supported sabbattical research in Europe and separate support of the Council of 100 Summer Research Program at Arizona State University.
Handbook of Macroeconomics
Author: John B. Taylor
Publisher: Elsevier
Published: 2016-12-01
Total Pages: 1376
ISBN-13: 0444594787
DOWNLOAD EBOOKHandbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Imperfect Knowledge Economics
Author: Roman Frydman
Publisher: Princeton University Press
Published: 2023-09-26
Total Pages: 368
ISBN-13: 0691261156
DOWNLOAD EBOOKPosing a major challenge to economic orthodoxy, Imperfect Knowledge Economics asserts that exact models of purposeful human behavior are beyond the reach of economic analysis. Roman Frydman and Michael Goldberg argue that the longstanding empirical failures of conventional economic models stem from their futile efforts to make exact predictions about the consequences of rational, self-interested behavior. Such predictions, based on mechanistic models of human behavior, disregard the importance of individual creativity and unforeseeable sociopolitical change. Scientific though these explanations may appear, they usually fail to predict how markets behave. And, the authors contend, recent behavioral models of the market are no less mechanistic than their conventional counterparts: they aim to generate exact predictions of "irrational" human behavior. Frydman and Goldberg offer a long-overdue response to the shortcomings of conventional economic models. Drawing attention to the inherent limits of economists' knowledge, they introduce a new approach to economic analysis: Imperfect Knowledge Economics (IKE). IKE rejects exact quantitative predictions of individual decisions and market outcomes in favor of mathematical models that generate only qualitative predictions of economic change. Using the foreign exchange market as a testing ground for IKE, this book sheds new light on exchange-rate and risk-premium movements, which have confounded conventional models for decades. Offering a fresh way to think about markets and representing a potential turning point in economics, Imperfect Knowledge Economics will be essential reading for economists, policymakers, and professional investors.
