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.
I am indebted to Greg Phelan for helpful comments.
Bils, Mark, Peter J. Klenow, and Benjamin A. Malin. 2012. “Reset Price Inflation and the Impact of Monetary Policy Shocks.” American Economic Review 102: 2798–2825.10.1257/aer.102.6.2798Search in Google Scholar
Corsetti, Giancarlo, André Meier, and Gernot J. Müller. 2012. “Fiscal Stimulus with Spending Reversals.” The Review of Economics and Statistics 94: 878–895.10.1162/REST_a_00233Search in Google Scholar
Del Negro, Marco, Marc P. Giannoni, and Frank Schorfheide. 2013. “Inflation in the Great Recession and New Keynesian Models.” Federal Reserve Bank of New York Staff Report No. 618, May.10.2139/ssrn.2266552Search in Google Scholar
Rotemberg, Julio J., and Michael Woodford. 1998. “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy: Expanded Version.” NBER Technical Working Paper 233, May.10.3386/t0233Search in Google Scholar
Tinbergen, Jan. 1939. Statistical Testing of Business-Cycle Theories, Volume 2, Business Cycles in the United States of America, 1919–1932. Geneva: League of Nations.Search in Google Scholar
©2015 by De Gruyter