Methods for Applied Macroeconomic Research

Author: Fabio Canova
Publisher: Princeton University Press
ISBN: 140084102X
Format: PDF, ePub, Mobi
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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.

Methods for Applied Macroeconomic Research

Author: Fabio Canova
Publisher: Princeton University Press
ISBN: 0691115044
Format: PDF, Kindle
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This book attempts to bring together dynamic theoretical equilibrium theory, data, analysis, and advanced econometeric and computational methods to provide a comprehensive set of techniques that can be used to address questions of interest to academics, business and central bank economists in the fields of macroeconomics, business cycle analysis, growth, monetary, financial, and international economics. The point of view taken is one of an applied economist facing time-series data (at times a panel of them, coming from different countries), who is interested in verifying the prediction of dynamic theories, in advising model builders and theorists on how to respecify existing constructions to obtain a better match between the model and the data and in drawing policy conclusions from exercises. The book illustrates a number of techniques which can be used to address the questions of interest, agnostically evaluates their usefulness in bringing out information relevant to the users, provides examples where the methods work and others where they do not, and points out problems when approaches developed for microeconomic data are used in time series frameworks.

Structural Macroeconometrics

Author: David N. DeJong
Publisher: Princeton University Press
ISBN: 1400840503
Format: PDF, ePub, Mobi
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Structural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field. The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code. Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.

DSGE Models in Macroeconomics

Author: Nathan Balke
Publisher: Emerald Group Publishing
ISBN: 1781903069
Format: PDF, ePub
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This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy

Research Methodology in Applied Economics

Author: Don E. Ethridge
Publisher: Wiley-Blackwell
ISBN: 9780813829944
Format: PDF
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Focused attention on how to organize and conduct research can increase the efficiency of the research process and its outcomes. The second edition of Research Methodology in Applied Economics provides time-tested guidelines to instruct graduate students in the research process. Emphasizing research methodology as it applies to economics, Ethridge provides (1) an overview of the conceptual and philosophical basis of research methodology and (2) procedural guidelines on designing, coordinating, and conducting research projects. This textbook integrates philosophies, concepts, and procedures in research methodology, adding practical tips such as how to write a research proposal, how to apply for funding, and how to write reports that effectively present research. This edition updates and increases the use of relevant examples for today’s students, faculty, and researchers

Methods for Quantitative Macro Comparative Research

Author: Salvatore J. Babones
Publisher: SAGE Publications
ISBN: 1483314987
Format: PDF, Mobi
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Will a one-child policy increase economic growth? Does globalization contribute to global warming? Are unequal societies less healthy than more egalitarian societies? To answer questions like these, social scientists turn to quantitative macro-comparative research (QMCR). Although many social scientists understand statistics conceptually, they struggle with the mathematical skills required to conduct QMCR. In Methods for Quantitative Macro-Comparative Research, author Salvatore J. Babones offers a means to bridge that gap, interpreting the advanced statistics used in QMCR in terms of verbal descriptions that any college graduate with a basic background in statistics can follow. He addresses both the philosophical foundations and day-to-day practice of QMCR in an effort to improve research outcomes and ensure policy relevance. A comprehensive guide to QMCR, the book presents an overview of the questions that can be answered using QMCR, details the steps of the research process, and concludes with important guidelines and best-practices for conducting QMCR. The book assumes that the reader has a sound grasp of the fundamentals of linear regression modeling, but no advanced mathematical knowledge is required in order for researchers and students to read, understand, and enjoy the book. A conversational discussion style supplemented by 75 tables and figures makes the book's methodological arguments accessible to both students and professionals. Extensive citations refer readers back to primary discussions in the literature, and a comprehensive index provides easy access to coverage of specific techniques. “This should be required reading for World Bank, OECD and U.N. researchers and data collectors as well as applied and academic sociologists, economists, political scientists and others who conduct cross country comparisons using publicly available large datasets. —Ernesto Castañeda, University of Texas at El Paso “I really don’t know how the author has managed it, but he covers complex material in an incredibly clear way…I think students who have a weaker background in statistics will learn a lot from the text and students with an advanced background in statistics will look at their analyses in a different way (from the point of planning analyses to actually interpreting results).” —Lesley Williams Reid, Georgia State University

Applied Macroeconometrics

Author: Carlo A. Favero
Publisher: Oxford University Press on Demand
ISBN: 9780198296850
Format: PDF, ePub, Docs
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Until the 1970s, there was a consensus in applied macroeconometrics, both regarding the theoretical foundation and the empirical specification of macroeconometric modelling, commonly known as the Cowles Commission approach. This is no longer the case: the Cowles Commission approach broke down in the 1970s, replaced by three prominent competing methods of empirical research: the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. This book discusses and illustrates the empirical research strategy of these three alternative approaches by interpreting them as different proposals to solve problems observed in the Cowles Commission approach.

Dynamic Economics

Author: Jérôme Adda
Publisher: MIT Press
ISBN: 9780262012010
Format: PDF, ePub, Docs
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An integrated approach to the empirical application of dynamic optimization programming models, for students and researchers.

Bayesian Estimation of DSGE Models

Author: Edward P. Herbst
Publisher: Princeton University Press
ISBN: 1400873738
Format: PDF, Kindle
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Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

Recursive Macroeconomic Theory

Author: Lars Ljungqvist
Publisher: MIT Press
ISBN: 0262312026
Format: PDF, ePub
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Recursive methods offer a powerful approach for characterizing and solving complicated problems in dynamic macroeconomics. Recursive Macroeconomic Theory provides both an introduction to recursive methods and advanced material, mixing tools and sample applications. Only experience in solving practical problems fully conveys the power of the recursive approach, and the book provides many applications. This third edition offers substantial new material, with three entirely new chapters and significant revisions to others. The new content reflects recent developments in the field, further illustrating the power and pervasiveness of recursive methods. New chapters cover asset pricing empirics with possible resolutions to puzzles; analysis of credible government policy that entails state variables other than reputation; and foundations of aggregate labor supply with time averaging replacing employment lotteries. Other new material includes a multi-country analysis of taxation in a growth model, elaborations of the fiscal theory of the price level, and age externalities in a matching model.The book is suitable for both first- and second-year graduate courses in macroeconomics and monetary economics. Most chapters conclude with exercises. Many exercises and examples use Matlab programs, which are cited in a special index at the end of the book.