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Comparative Performance of US Econometric Models - Lawrence R. Klein

Comparative Performance of US Econometric Models

By: Lawrence R. Klein (Editor)

Hardcover

Published: 18th April 1991
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This volume compares strategic properties of the leading macroeconometric models of the United States. It summarizes the work of an ongoing seminar supported by the National Science Foundation and chaired by Lawrence R. Klein of the University of Pennsylvania. The Seminar meets three times annually. Comparisons are made across models for such characteristics as conventional multipliers (fiscal, monetary, and supply side shocks), J-curve response to dollar depreciation, and forecast performance under consistent assumptions. There are in-depth comparisons of some models and investigation of use of high frequency information to improve forecasts. There are also analyses of the sources of forecast error. The core structures of models, especially their ISLM cores, are compared. The volume contains one chapter on comparison across models of different developing countries. In addition to the contributions by participating model builders who meet regularly, the book contains critical appraisals by outsiders. The contributors include many distinguished economists in model use and analysis. Many are operators of the countries best known modelling facilities. The introduction was written by Lawrence R. Klein, winner of the Nobel Prize in Economic Science in 1980, for his work in construction and use of econometric models.

"This book is must reading for anyone who does serious forcasting with models. It provides techniques for analyzing and evaluating these models....For the user of econometric models, the book provides an understanding of the differences in models and why the predictions of the models might differ."--International Journal of Forecasting "The volume is a must for practitioners of econometric model building and for general macroeconomists who are interested in empirical testing."--The Journal of Economics "For those who remain faithful to the cause of large-scale macroeconomic modeling, this volume is certainly required reading."--Journal of the American Statistical Association "Contains a wealth of information on the current state of macroeconomic modelling in the US."--The World Economy "These essays were part of a National Science Foundation seminar on the comparison of mainstream macroeconometric models of the U.S....Contributors include specialists in the areas of model use and analysis."--Journal of Macroeconomics "The book is very welcome...and prpovides a valuable source of information on the specific exercises conducted by participants in this new round of comparisons....The book offers an interesting overview of the state of the art of macroeconomic modelling in the United States and will be mostly welcomed by students of econometrics, model-builders, and model-users."--The Economic Journal "This book is must reading for anyone who does serious forcasting with models. It provides techniques for analyzing and evaluating these models....For the user of econometric models, the book provides an understanding of the differences in models and why the predictions of the models might differ."--International Journal of Forecasting "The volume is a must for practitioners of econometric model building and for general macroeconomists who are interested in empirical testing."--The Journal of Economics "For those who remain faithful to the cause of large-scale macroeconomic modeling, this volume is certainly required reading."--Journal of the American Statistical Association "Contains a wealth of information on the current state of macroeconomic modelling in the US."--The World Economy "These essays were part of a National Science Foundation seminar on the comparison of mainstream macroeconometric models of the U.S....Contributors include specialists in the areas of model use and analysis."--Journal of Macroeconomics "The book is very welcome...and prpovides a valuable source of information on the specific exercises conducted by participants in this new round of comparisons....The book offers an interesting overview of the state of the art of macroeconomic modelling in the United States and will be mostly welcomed by students of econometrics, model-builders, and model-users."--The Economic Journal "The chapters in this book enable econometricians and economists to appreciate the strengths and weaknesses of the current generation of large macro models and as such form an important volume that deserves to be widely read."--Journal of Economic Literature

Prefacep. v
Notesp. vi
Contributorsp. ix
Overviewp. 1
Past, Present, and Possible Future of Macroeconometric Models and T heir Usesp. 3
Performance of Quarterly Econometric Models of the United States: a New Round of Model Comparisonsp. 18
Notesp. 41
Referencesp. 41
Comparing Macroeconomic Model Forecasts Under Common Assumptionsp. 69
Acknowledgmentsp. 84
Notesp. 84
Notesp. 85
Comparisons of Model Structuresp. 87
the Is-Lm Cores of Three Econometric Modelsp. 89
Concluding Remarksp. 121
Concluding Remarksp. 123
Concluding Remarksp. 124
a Comparative Analysis of the Dri and Bea Modelsp. 125
Notesp. 160
Notesp. 162
a Comparison of the Michigan and Fair Modelsp. 168
Referencesp. 196
Additional Approaches to Model Comparisons and Forecastsp. 199
Reappraisal of the Phillips Curve and Direct Effects of Money Supply on Inflationp. 201
Notesp. 220
Notesp. 222
New Methocis for Using Monthly Data""to Improve Forecast Accuracyp. 227
Notesp. 246
Notesp. 247
Stochastic-Simulation Testsof Nonlinear Econometric Modelsp. 250
Referencesp. 258
Comparisons of Macroeconometric Models of Developing Economiesp. 260
Notesp. 268
Notesp. 269
External Reviewsp. 287
a New Round of U.S. Model Comparisons: a Limited Appraisalp. 289
Notesp. 312
Model Comparisons and Appraisals1p. 316
Indexp. 321
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780195057720
ISBN-10: 0195057724
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 336
Published: 18th April 1991
Publisher: Oxford University Press Inc
Country of Publication: US
Dimensions (cm): 24.3 x 16.3  x 3.0
Weight (kg): 0.7