Testing Macroeconometric Models

Ray C. Fair

Published by Harvard University Press 1994

Testing Macroeconometric Models

Ray C. Fair

https://doi.org/10.4159/harvard.9780674333444

Overview
Contents

About this book

In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries.

After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations.

Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.

Author information

Fair Ray :

Ray C. Fair is Professor of Economics, Yale University.

Reviews

Specification, estimation, and analysis of macroeconometric models may be among the things that well brought up economists refrain from doing in public. Ray Fair's book of this title, on the other hand, is recommended reading and a public service...The reader of this book will be left with a better appreciation of the accomplishments and the real problems of this field.

Fair's research is a model of scientific ingenuity and candidness. He gives readers an intimate view of his models¿the substantive findings should be studies by all who seek well-documented, carefully executed empirical evidence on economic fluctuations.

Topics

Frontmatter Publicly Available Download PDF	i
Contents Publicly Available Download PDF	vii
List of Tables Requires Authentication Unlicensed Licensed Download PDF	xiii
List of Figures Requires Authentication Unlicensed Licensed Download PDF	xix
Preface Requires Authentication Unlicensed Licensed Download PDF	xxi
1 Introduction Requires Authentication Unlicensed Licensed Download PDF	1
2 Theory Requires Authentication Unlicensed Licensed Download PDF	17
3 The Data, Variables, and Equations Requires Authentication Unlicensed Licensed Download PDF	39
4 Estimating and Testing Single Equations Requires Authentication Unlicensed Licensed Download PDF	63
5 The Stochastic Equations of the US Model Requires Authentication Unlicensed Licensed Download PDF	83
6 The Stochastic Equations of the ROW Model Requires Authentication Unlicensed Licensed Download PDF	141
7 Estimating and Testing Complete Models Requires Authentication Unlicensed Licensed Download PDF	183
8 Estimating and Testing the US Model Requires Authentication Unlicensed Licensed Download PDF	219
9 Testing the MC Model Requires Authentication Unlicensed Licensed Download PDF	247
10 Analyzing Properties of Models Requires Authentication Unlicensed Licensed Download PDF	261
11 Analyzing Properties of the US Model Requires Authentication Unlicensed Licensed Download PDF	275
12 Analyzing Properties of the MC Model Requires Authentication Unlicensed Licensed Download PDF	333
13 Conclusion Requires Authentication Unlicensed Licensed Download PDF	349
Appendix A Tables for the US Model Requires Authentication Unlicensed Licensed Download PDF	353
Appendix Β Tables for the ROW Model Requires Authentication Unlicensed Licensed Download PDF	393
Bibliography Requires Authentication Unlicensed Licensed Download PDF	407
Index Requires Authentication Unlicensed Licensed Download PDF	419

(Deutsch)

Language: English
Publisher: Harvard University Press
Edition: Reprint 2013
Audience: Professional and scholarly;
Pages
- Front matter: 17
- Main content: 421
Illustrations
- Illustrations: 2
- Tables: 113
- Other: 20 tables
Keywords: Econometric models.; United States -- Economic conditions -- 1945- -- Econometric models.

eBook

Published: October 1, 2013
ISBN: 9780674333444

Hardcover

Published: February 5, 1994
ISBN: 9780674333437