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Licensed Unlicensed Requires Authentication Published by De Gruyter December 5, 2014

Reflections on macroeconometric modeling

Ray C. Fair


I have been doing research in macroeconomics since the late 1960s, almost 50 years. In this paper I pause and take stock. The paper is part personal reflections on macroeconometric modeling, part a road map of the techniques of macroeconometric modeling, and part comments on what I think I have learned about how the macroeconomy works from my research in this area. Section 1 contrasts the methodology of the Cowles Commission approach with that of DSGE modeling. Section 2 presents the general model that I am using; Section 3 discusses theory; and Section 4 discusses estimation and solution. Section 5 then discusses various results from the estimation; Section 6 discusses various properties of the model; and Section 7 uses the model to analyze various economic events. Wealth effects play a large role in the analysis of past events.

Corresponding author: Ray C. Fair, Cowles Foundation, Department of Economics, Yale University, New Haven, CT 06520-8281, USA, e-mail: , website:


I am indebted to Greg Phelan for helpful comments.


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Published Online: 2014-12-5
Published in Print: 2015-1-1

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