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Applied Macroeconometrics - Carlo A. Favero

Applied Macroeconometrics

Hardcover Published: 1st June 2000
ISBN: 9780198775836
Number Of Pages: 296

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This text provides graduate students of macroeconomics, econometrics, and monetary economics with discussion and practical illustrations of the techniques used in applied macroeconometrics. Until the 1970s, there was consensus regarding both the theoretical foundations and the empirical specification of applied macroeconometric modelling, commonly known as the Cowles Commission approach. This is no longer the case: the Cowles Commission approach broke down in the 1970s, to be replaced by a number of prominent competing methods--the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. Applied Macroeconometrics examines the empirical research strategy of these alternatives by interpreting them as attempts to solve the problems observed in the Cowles Commission approach. The different research strategies are illustrated with specific reference to real-world examples, particularly with respect to the monetary transmission mechanism. A common US dataset is used in these examples, thus allowing the reader easy comparisons. The presentation is based on the view that identification, a central concept in econometrics, provides a natural framework in which to discuss the alternative strategies currently dominating research. The first part of the book introduces time-series models and details the importance of their identification. The second part illustrates, chapter by chapter, the alternative approaches, providing detailed applications of each methodology. Data used in the applications are available in a variety of formats from the author's web site, and will be supplemented by exercises for the reader to perform.

Industry Reviews

`This book provides an extremely useful and accessible description of a wide range of techniques and approaches currently used in applied macroeconometrics' Journal of Applied Econometrics, Vol.16, No.5

ISBN: 9780198775836
ISBN-10: 0198775830
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 296
Published: 1st June 2000
Country of Publication: GB
Dimensions (cm): 23.39 x 15.6  x 1.75
Weight (kg): 0.57

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