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Handbook of Research Methods and Applications in Empirical Macroeconomics
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading.
More Information
Contributors
Contents
More Information
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading.
Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macroeconomics and econometrics.
Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macroeconomics and econometrics.
Contributors
Contributors: B.H. Baltagi, L. Bauwens, O. Boldea, J. Breitung, C. Cantore, M.J. Chambers, I. Choi, J. Davidson, V.J. Gabriel, R. Giacomini, P. Gomme, J. Gonzalo, P.A. Guerrón-Quintana, N. Haldrup, A.R. Hall, N. Hashimzade, M. Karanasos, L. Kilian, S. Kim, D. Korobilis, R. Kruse, P. Levine, D. Lkhagvasuren, A. Luati, H. Lütkepohl, J. Madeira, T.C. Mills, J.M. Nason, K. Patterson, J. Pearlman, J.-Y. Pitarakis, D.S.G. Pollock, T. Proietti, B. Rossi, F.J. Ruge-Murcia, T. Teräsvirta, M.A. Thornton, R.T. Varneskov, B. Yang, N. Zeng
Contents
Contents:
1. Introduction
Nigar Hashimzade and Michael A. Thornton
2. A Review of Econometric Concepts and Methods for Empirical Macroeconomics
Kerry Patterson and Michael A. Thornton
PART I: PROPERTIES OF MACROECONOMIC DATA
3. Trends, Cycles and Structural Breaks
Terence C. Mills
4. Unit Roots, Non-linearities and Structural Breaks
Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov
5. Filtering Macroeconomic Data
D.S.G. Pollock
PART II: MODELS FOR MACROECONOMIC DATA ANALYSIS
6. Vector Autoregressive Models
Helmut Lütkepohl
7. Cointegration and Error Correction
James Davidson
8. Estimation and Inference in Threshold Type Regime Switching Models
Jesús Gonzalo and Jean-Yves Pitarakis
9. Testing Structural Stability in Macroeconometric Models
Otilia Boldea and Alastair R. Hall
10. Dynamic Panel Data Models
Badi H. Baltagi
11. Factor Models
Jörg Breitung and In Choi
12. Conditional Heteroskedasticity in Macroeconomic Data: UK Inflation, Output Growth and their Uncertainties
Menelaos Karanasos and Ning Zeng
13. Temporal Aggregation in Macroeconomics
Michael A. Thornton and Marcus J. Chambers
PART III: ESTIMATION AND EVALUATION FRAMEWORKS IN MACROECONOMICS
14. Generalized Method of Moments
Alastair R. Hall
15. Maximum Likelihood Estimation of Time Series Models: The Kalman Filter and Beyond
Tommaso Proietti and Alessandra Luati
16. Bayesian Methods
Luc Bauwens and Dimitris Korobilis
17. Forecasting in Macroeconomics
Raffaella Giacomini and Barbara Rossi
PART IV: APPLICATIONS I: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS
18. The Science and Art of DSGE Modelling: I – Construction and Bayesian Estimation
Cristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang
19. The Science and Art of DSGE Modelling: II – Model Comparisons, Model Validation, Policy Analysis and General Discussion
Cristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang
20. Generalized Method of Moments Estimation of DSGE Models
Francisco J. Ruge-Murcia
21. Bayesian Estimation of DSGE Models
Pablo A. Guerrón-Quintana and James M. Nason
PART V: APPLICATIONS II: VECTOR AUTOREGRESSIVE MODELS
22. Structural Vector Autoregressions
Lutz Kilian
23. Vector Autoregressive Models for Macroeconomic Policy Analysis
Soyoung Kim
PART VI: APPLICATIONS III: CALIBRATION AND SIMULATIONS
24. Calibration and Simulation of DSGE Models
Paul Gomme and Damba Lkhagvasuren
25. Simulation and Estimation of Macroeconomic Models in Dynare
João Madeira
Index
1. Introduction
Nigar Hashimzade and Michael A. Thornton
2. A Review of Econometric Concepts and Methods for Empirical Macroeconomics
Kerry Patterson and Michael A. Thornton
PART I: PROPERTIES OF MACROECONOMIC DATA
3. Trends, Cycles and Structural Breaks
Terence C. Mills
4. Unit Roots, Non-linearities and Structural Breaks
Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov
5. Filtering Macroeconomic Data
D.S.G. Pollock
PART II: MODELS FOR MACROECONOMIC DATA ANALYSIS
6. Vector Autoregressive Models
Helmut Lütkepohl
7. Cointegration and Error Correction
James Davidson
8. Estimation and Inference in Threshold Type Regime Switching Models
Jesús Gonzalo and Jean-Yves Pitarakis
9. Testing Structural Stability in Macroeconometric Models
Otilia Boldea and Alastair R. Hall
10. Dynamic Panel Data Models
Badi H. Baltagi
11. Factor Models
Jörg Breitung and In Choi
12. Conditional Heteroskedasticity in Macroeconomic Data: UK Inflation, Output Growth and their Uncertainties
Menelaos Karanasos and Ning Zeng
13. Temporal Aggregation in Macroeconomics
Michael A. Thornton and Marcus J. Chambers
PART III: ESTIMATION AND EVALUATION FRAMEWORKS IN MACROECONOMICS
14. Generalized Method of Moments
Alastair R. Hall
15. Maximum Likelihood Estimation of Time Series Models: The Kalman Filter and Beyond
Tommaso Proietti and Alessandra Luati
16. Bayesian Methods
Luc Bauwens and Dimitris Korobilis
17. Forecasting in Macroeconomics
Raffaella Giacomini and Barbara Rossi
PART IV: APPLICATIONS I: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS
18. The Science and Art of DSGE Modelling: I – Construction and Bayesian Estimation
Cristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang
19. The Science and Art of DSGE Modelling: II – Model Comparisons, Model Validation, Policy Analysis and General Discussion
Cristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang
20. Generalized Method of Moments Estimation of DSGE Models
Francisco J. Ruge-Murcia
21. Bayesian Estimation of DSGE Models
Pablo A. Guerrón-Quintana and James M. Nason
PART V: APPLICATIONS II: VECTOR AUTOREGRESSIVE MODELS
22. Structural Vector Autoregressions
Lutz Kilian
23. Vector Autoregressive Models for Macroeconomic Policy Analysis
Soyoung Kim
PART VI: APPLICATIONS III: CALIBRATION AND SIMULATIONS
24. Calibration and Simulation of DSGE Models
Paul Gomme and Damba Lkhagvasuren
25. Simulation and Estimation of Macroeconomic Models in Dynare
João Madeira
Index
