Global and National Macroeconometric Modelling

Abstract

AbstractThis book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to construct a macroeconometric model, in which the long-run relationships are consistent with economic theory and where the short-run dynamics have an interpretation. The discussion considers theoretical as well as practical considerations involved in the model building process, and gives an overview of the econometric methods covering cointegrating VAR analysis and probability forecasting. The second part of the book is devoted to the practical detail of estimating a long-run structural macroeconometric model and is illustrated through various global and national examples, including a step-by-step description of the development of a model of the UK economy. The third part discusses the interpretation and use of long-run structural macroeconometric models, describing the use of the UK model along with illustrations of the modelling approach in investigating regional interdependencies in a global macroeconometric model and other specified issues in a global or national macroeconometric context. Throughout, the book emphasizes the use of macroeconometric modelling in the real world and provides sufficient detail, including discussion of data collection and computer programmes employed, for the techniques that are introduced to be replicated or applied in new contexts.