Aggregation and the Microfoundations of Dynamic Macroeconomics

Aggregation and the Microfoundations of Dynamic Macroeconomics

by Mario Forni, Marco Lippi
     
 

ISBN-10: 019828800X

ISBN-13: 9780198288008

Pub. Date: 02/01/1998

Publisher: Oxford University Press, USA

Through careful methodological analysis, this book argues that modern macroeconomics has completely overlooked the aggregate nature of the data. In Part I, the authors test and reject the homogeneity assumption using disaggregate data. In Part II, they demonstrate that apart from random flukes, cointegration unidirectional Granger causality and restrictions on

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Overview

Through careful methodological analysis, this book argues that modern macroeconomics has completely overlooked the aggregate nature of the data. In Part I, the authors test and reject the homogeneity assumption using disaggregate data. In Part II, they demonstrate that apart from random flukes, cointegration unidirectional Granger causality and restrictions on parameters do not survive aggregation when heterogeneity is introduced. They conclude that the claim that modern macroeconomics has solid microfoundations is unwarranted. However, some important theory-based models that do not fit aggregate data well in their representative-agent version can be reconciled with aggregate data by introducing heterogeneity.

Product Details

ISBN-13:
9780198288008
Publisher:
Oxford University Press, USA
Publication date:
02/01/1998
Series:
Sset Series
Pages:
256
Product dimensions:
6.40(w) x 9.30(h) x 1.00(d)
Lexile:
1330L (what's this?)

Table of Contents

1. Discrepancies Between Micro and Macromodels: Examples
1.1 Testing Restrictions Implied by Rational Expectations
1.2 Permanent Income Hypothesis under Rational Expectations
1.3 Error-correction Mechanisms
1.4 VAR Models
1.5 A Multiplier-accelerator Model
1.6 Conclusions of Chapter One
2. Existence of the Macromodel
2.1 Assumptions on the Microvariables
2.2 Existence and Uniqueness of the Macromodel
2.3 Co-Integration
3. Dynamic Analysis of the Macromodel
3.1 The Macromodel Disturbances
3.2 The Dynamic Shape of the Macromodel: Granger Causality
3.3 The Dynamic Shape of the Macromodel: Dynamization of the Macroequations
3.4 The Dynamic Shape of the Macromodel: Unexpected Shape of the Macroequation
3.5 Supererexogenity in the Macromodel
4. Related Topics
4.1 Omitted Variables
4.2 Unobserved Components Models
4.3 Errors in Variables
4.4 Nonlinearities 4.4 Nonlinearities

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