Product 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.

Product Details

• Amazon Sales Rank: #272350 in Books
• Published on: 2001-01-11
• Original language: English
• Number of items: 1
• Binding: Paperback
• 296 pages

About the Author
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.

Customer Reviews

A Dummy's Guide to Macroeconometrics
This is one of the best applied econometrics books I ever read. The author has combined the theoretical and empirical aspects in such a way that a reader learns the modelling skills while reading the text.

Interesting approach but needs improvement
The book contains an original approach to teaching macroeconometrics, and the title and the table of contents easily made me adopt it as the main text in a course. After thoroughly reading the book, however, I found many places where the text is unpolished - discrete and continuous cases are mixed without needed explanations, sometimes there are errors in formulae, etc. Hopefully a second edition is looked at more carefully by OUP.