Methods for Applied Macroeconomic Research

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

Macroeconomics

Author: William M. Scarth
Publisher:
ISBN: 9781781953877
Format: PDF, ePub, Docs
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'This is an excellent book, actually the book, for the beginning graduate student who wants to keep up with the often confusing journal literature and the twists and turns of the intellectual debate. Now into a fourth edition, the "Scarth Express", as we used to say circa 1975, is still going strong. This was a reference to the speed at which the material was delivered, in class, on a blackboard. No such problems for the reader of this volume.' - John Smithin, York University, Canada

Methods for Quantitative Macro Comparative Research

Author: Salvatore J. Babones
Publisher: SAGE Publications
ISBN: 1483314987
Format: PDF, ePub
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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

Dynamic General Equilibrium Modeling

Author: Burkhard Heer
Publisher: Springer Science & Business Media
ISBN: 3540856846
Format: PDF, Kindle
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Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.

Dynamic Economics

Author: Jérôme Adda
Publisher: MIT Press
ISBN: 9780262012010
Format: PDF
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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, ePub, Mobi
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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.

Applied Macroeconometrics

Author: Carlo A. Favero
Publisher: Oxford University Press on Demand
ISBN: 9780198296850
Format: PDF
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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.

Applied Macroeconomics for Public Policy

Author: Rafael Yanushevsky
Publisher: Academic Press
ISBN: 0128156333
Format: PDF, Mobi
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Applied Macroeconomics for Public Policy applies system and control theory approaches to macroeconomic problems. The book shows how to build simple and efficient macroeconomic models for policy analysis. By using these models, instead of complex multi-criteria models with uncertain parameters, readers will gain new certainty in macroeconomic decision-making. As high debt to GDP ratios cause problems in societies, this book provides insights on improving economies during and after economic downturns. Provides a detailed analysis of existing macroeconomic models Addresses the dynamics of debt to GDP ratio and the effects of fiscal and monetary policy on this ratio Shows how to use models to evaluate the dynamics of the debt to GDP ratio in cases of government spending and tax cuts and to decide whether such economic measures are efficient Uses optimal theory to obtain optimal yearly debt levels to reach the established goals (decrease debt or balance budget) Provides many examples and software exercises to promote learning by doing