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Methods for Applied Macroeconomic Research - Fabio Canova

Methods for Applied Macroeconomic Research


Published: 22nd January 2007
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The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work.

Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises.

Today's economic analysts need a strong foundation in both theory and application. "Methods for Applied Macroeconomic Research" offers the essential tools for the next generation of macroeconomists.

"The last twenty years have witnessed a revolution in macroeconomic modeling. Yet an integrated and accessible treatment of the new methods has been notably lacking. Fabio Canova's book fills that gap magnificently. It is surely destined to be an indispensable reference for both students and researchers for years to come."--Charles Bean, Bank of England
"This book will become an invaluable reference for applied macroeconomists as well as a much-needed teaching tool for graduate macroeconomic courses. Anybody who has an interest in quantitative macroeconomics, either as an academic or as a practitioner, should buy it."--Lucrezia Reichlin, European Central Bank
"Dynamic general equilibrium models have become regular tools for policy analysis in central banks and other policy institutions. This book is a wonderful source for those who want to bring those models to the data. It is thorough and comprehensive, it has a great set of examples and exercises, and, above all, it provides many practical tips. A must-read for any applied macroeconomist."--Frank Smets, European Central Bank
"To be able to describe and interpret business-cycle fluctuations using modern methods developed by researchers is crucial to economists who want to make and evaluate forecasts and policy advice. Fabio Canova has a long experience from research at the frontier, but also from teaching and from applied work at policy institutions such as central banks. His book provides an indispensable toolbox for any researcher that wants to have an influence on practical policy work."--Anders Vredin, Sveriges Riksbank
"The material covered in this book is extensive, and the author always strives to provide an in-depth analysis and discussion for every topic, complete with the most up-to-date developments in the literature. The combination of DSGE macroeconomics and econometrics makes this book a unique product, likely to become an essential reference for empirical macroeconomists and policymakers."--Marco Del Negro, FRB Atlanta
"This book is unprecedented among econometrics books for the way it incorporates careful and sophisticated macroeconomic theory. It is unprecedented among books on dynamic macroeconomics for its level of practical statistical advice and econometric sophistication. There is simply nothing close to this book available. Many of the best young researchers will want to study and teach from it."--Thomas J. Sargent, New York University
"This book treats econometric, computational, and macroeconomic substantive issues jointly. Nearly all existing books in this area are either strictly econometric, strictly computational, or focus on substance without taking up econometric and computational issues. The need for a treatment like this on the part of applied researchers means there will be wide interest in it."--Christopher Sims, Princeton University

Prefacep. xi
Preliminariesp. 1
Stochastic Processesp. 2
Convergence Conceptsp. 3
Time Series Conceptsp. 8
Laws of Large Numbersp. 14
Central Limit Theoremsp. 16
Elements of Spectral Analysisp. 18
DSGE Models, Solutions, and Approximationsp. 26
A Few Useful Modelsp. 27
Approximation Methodsp. 45
Extracting and Measuring Cyclical Informationp. 70
Statistical Decompositionsp. 72
Hybrid Decompositionsp. 83
Economic Decompositionsp. 100
Time Aggregation and Cyclesp. 104
Collecting Cyclical Informationp. 105
VAR Modelsp. 111
The Wold Theoremp. 112
Specificationp. 118
Moments and Parameter Estimation of a VAR(q)p. 126
Reporting VAR Resultsp. 130
Identificationp. 141
Problemsp. 151
Validating DSGE Models with VARsp. 159
GMM and Simulation Estimatorsp. 165
Generalized Method of Moments and Other Standard Estimatorsp. 166
IV Estimation in a Linear Modelp. 169
GMM Estimation; An Overviewp. 176
GMM Estimation of DSGE Modelsp. 191
Simulation Estimatorsp. 197
Likelihood Methodsp. 212
The Kalman Filterp. 214
The Prediction Error Decomposition of Likelihoodp. 221
Numerical Tipsp. 228
ML Estimation of DSGE Modelsp. 230
Two Examplesp. 240
Calibrationp. 248
A Definitionp. 249
The Uncontroversial Partsp. 250
Choosing Parameters and Stochastic Processesp. 252
Model Evaluationp. 259
The Sensitivity of the Measurementp. 279
Savings, Investments, and Tax Cuts: An Examplep. 282
Dynamic Macro Panelsp. 288
From Economic Theory to Dynamic Panelsp. 289
Panels with Homogeneous Dynamicsp. 291
Dynamic Heterogeneityp. 304
To Pool or Not to Pool?p. 315
Is Money Superneutral?p. 321
Introduction to Bayesian Methodsp. 325
Preliminariesp. 326
Decision Theoryp. 335
Inferencep. 336
Hierarchical and Empirical Bayes Modelsp. 345
Posterior Simulatorsp. 353
Robustnessp. 370
Estimating Returns to Scale in Spainp. 370
Bayesian VARsp. 373
The Likelihood Function of an m-Variable VAR(q)p. 374
Priors for VARsp. 376
Structural BVARsp. 390
Time-Varying-Coefficient BVARsp. 397
Panel VAR Modelsp. 404
Bayesian Time Series and DSGE Modelsp. 418
Factor Modelsp. 449
Stochastic Volatility Modelsp. 427
Markov Switching Modelsp. 433
Bayesian DSGE Modelsp. 440
A Statistical Distributionsp. 463
Referencesp. 469
Indexp. 487
Table of Contents provided by Ingram. All Rights Reserved.

ISBN: 9780691115047
ISBN-10: 0691115044
Audience: Tertiary; University or College
Format: Hardcover
Language: English
Number Of Pages: 512
Published: 22nd January 2007
Publisher: Princeton University Press
Country of Publication: US
Dimensions (cm): 24.4 x 16.4  x 3.3
Weight (kg): 0.86