Publisher Description

This text provides graduate students of macroeconomics, econometrics, and monetary economics with discussion and practical illustrations of the techniques used in applied macroeconometrics. Until the 1970s, there was consensus regarding both the theoretical foundations and the empirical specification of applied macroeconometric modelling, commonly known as the Cowles Commission approach. This is no longer the case: the Cowles Commission approach broke down in the1970s, to be replaced by a number of prominent competing methods--the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. AppliedMacroeconometrics examines the empirical research strategy of these alternatives by interpreting them as attempts to solve the problems observed in the Cowles Commission approach. The different research strategies are illustrated with specific reference to real-world examples, particularly with respect to the monetary transmission mechanism. A common US dataset is used in these examples, thus allowing the reader easy comparisons. The presentation is based on the view thatidentification, a central concept in econometrics, provides a natural framework in which to discuss the alternative strategies currently dominating research. The first part of the book introducestime-series models and details the importance of their identification. The second part illustrates, chapter by chapter, the alternative approaches, providing detailed applications of each methodology. Data used in the applications are available in a variety of formats from the author's web site, and will be supplemented by exercises for the reader to perform.

Author Biography

Carlo A. Favero is Professor of Economics at Bocconi University in Milan, Resident Fellow of the Innocenzo Gasparini Institute for Economic Research, and Research Fellow of the Centre for Economic Policy Research.

Review

`This book provides an extremely useful and accessible description of a wide range of techniques and approaches currently used in applied macroeconometrics'Journal of Applied Econometrics, Vol.16, No.5

Long Description

This text provides graduate students of macroeconomics, econometrics, and monetary economics with discussion and practical illustrations of the techniques used in applied macroeconometrics. Until the 1970s, there was consensus regarding both the theoretical foundations and the empirical specification of applied macroeconometric modelling, commonly known as the Cowles Commission approach. This is no longer the case: the Cowles Commission approach broke down in the
1970s, to be replaced by a number of prominent competing methods--the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. Applied Macroeconometrics examines the empirical research strategy of these alternatives by interpreting
them as attempts to solve the problems observed in the Cowles Commission approach. The different research strategies are illustrated with specific reference to real-world examples, particularly with respect to the monetary transmission mechanism. A common US dataset is used in these examples, thus allowing the reader easy comparisons. The presentation is based on the view that identification, a central concept in econometrics, provides a natural framework in which to
discuss the alternative strategies currently dominating research. The first part of the book introduces time-series models and details the importance of their identification. The second part illustrates, chapter by chapter, the alternative approaches, providing detailed applications of each methodology.
Data used in the applications are available in a variety of formats from the author's web site, and will be supplemented by exercises for the reader to perform.

Review Text

`This book provides an extremely useful and accessible description of a wide range of techniques and approaches currently used in applied macroeconometrics'
Journal of Applied Econometrics, Vol.16, No.5

Review Quote

'This book provides an extremely useful and accessible description of awide range of techniques and approaches currently used in appliedmacroeconometrics'Journal of Applied Econometrics, Vol.16, No.5

Feature

Accessible overview of applied macroeconometrics
Covers all common approaches in macroeconometrics

Details