Dynamic Econometrics for Empirical Macroeconomic Modelling

For Masters and PhD students in Economics

In this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.

The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.

Supplementary materials and notes are available on the publisher's website.
Contents: Introduction to Dynamic MacroeconometricsReview of Econometric TheoryReview of Difference EquationsStationary Time SeriesThe VARSingle Equation ModelsMultiple Equation ModelsExogeneityNon-stationarityCointegrationAutomatic Variable SelectionModel-Based ForecastingAppendices:A Growth Model and RBC TheorySpectral AnalysisAnswer Notes to Exercises
Readership: Masters and PhD level students and researchers in econometrics of time series data. Economists in private consultancy, government agencies and central banks who model time series for analysis and forecasting. Dynamic Econometrics;Macroeconometric Modelling;Stati0Key Features:A concise presentation of the required background in the mathematics of difference equations and of how it is used in dynamic econometric modellingCoverage of methods for non-stationary and cointegrated varaiblesSeparate chapters about automatic methods for variable selection and about forecasting with empirical macroeconometric models