Methods for Applied Macroeconomic Research

Name: Methods for Applied Macroeconomic Research
Price: 80.65 USD
Availability: InStock
ISBN: 9780691115047

ISBN-10: 0691115044

ISBN-13: 9780691115047

Edition: 2007

Authors: Fabio Canova

List price: $105.00

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Description:

The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level…

Book details

List price: $105.00
Copyright year: 2007
Publisher: Princeton University Press
Publication date: 2/11/2007
Binding: Hardcover
Pages: 512
Size: 6.02" wide x 10.39" long x 1.44" tall
Weight: 2.112



Preface



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



A Statistical Distributions


References


Index