Methods for Applied Macroeconomic Research

ISBN-10: 0691115044

ISBN-13: 9780691115047

Edition: 2007

Authors: Fabio Canova
List price: $99.95
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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 textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises. Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists.

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Book details

List price: $99.95
Copyright year: 2007
Publisher: Princeton University Press
Publication date: 2/11/2007
Binding: Hardcover
Pages: 512
Size: 6.25" wide x 9.00" long x 1.25" tall
Weight: 1.848
Language: English

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
Moments and Parameter Estimation of a VAR(q)
Reporting VAR Results
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
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
Decision Theory
Hierarchical and Empirical Bayes Models
Posterior Simulators
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
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