Methods for applied macroeconomic research / Fabio Canova.

Format:

Book

Author/Creator:

Canova, Fabio.

Contributor:

John Lammey Stewart Memorial Library Fund.

Language:

English

Subjects (All):

Macroeconomics--Research--Methodology.

Macroeconomics.

Macroeconomics--Mathematical models.

Research.

Methodology.

Physical Description:

xiv, 492 pages : illustrations ; 24 cm

Place of Publication:

Princeton : Princeton University Press, [2007]

Summary:

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.

Contents:

Preliminaries. Stochastic processes ; Convergence concepts ; Time series concepts ; Laws of large numbers ; Central limit theorems ; Elements of spectral analysis

DSGE models, solutions, and approximations. A few useful models ; Approximation methods

Extracting and measuring cyclical information. Statistical decompositions ; Hybrid decompositions ; Economic decompositions ; Time aggregation and cycles ; Collecting cyclical information

VAR models. The Wold theorem ; Specification ; Moments and parameter estimation of a VAR(q) ; Reporting VAR results ; Identification ; Problems ; Validating DSGE models with VARs

GMM and simulation estimators. Generalized method of moments and other standard estimators ; IV estimation in a linear model ; GMM estimation: an overview ; GMM estimation of DSGE models ; Simulation estimators

Likelihood methods. The Kalman filter ; The prediction error decomposition of likelihood ; Numerical tips ; ML estimation of DSGE models ; Two examples

Calibration. A definition ; The uncontroversial parts ; Choosing parameters and stochastic processes ; Model evaluation ; The sensitivity of the measurement ; Savings, investments, and tax cuts: an example

Dynamic macro panels. From economic theory to dynamic panels ; Panels with homogeneous dynamics ; Dynamic heterogeneity ; To pool or not to pool? ; Is money superneutral?

Introduction to Bayesian methods. Preliminaries ; Decision theory ; Inference ; Hierarchical and empirical Bayes models ; Posterior simulators ; Robustness ; Estimating returns to scale in Spain

Bayesian VARs. The likelihood function of an m-Variable VAR(q) ; Priors for VARs ; Structural BVARs ; Time-varying-coefficient BVARs ; Panel VAR models

Bayesian time series and DSGE models. Factor models ; Stochastic volatility models ; Markov switching models ; Bayesian DSGE models

Appendix A. Statistical distributions.

Notes:

Includes bibliographical references (pages [469]-485) and index.

Local Notes:

Acquired for the Penn Libraries with assistance from the John Lammey Stewart Memorial Library Fund.

ISBN:

0691115044

9780691115047

OCLC:

80156811

Publisher Number:

99952167365