Methods for Applied Macroeconomic Research [NOOK Book]


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 ...

See more details below
Methods for Applied Macroeconomic Research

Available on NOOK devices and apps  
  • NOOK Devices
  • Samsung Galaxy Tab 4 NOOK 7.0
  • Samsung Galaxy Tab 4 NOOK 10.1
  • NOOK HD Tablet
  • NOOK HD+ Tablet
  • NOOK eReaders
  • NOOK Color
  • NOOK Tablet
  • Tablet/Phone
  • NOOK for Windows 8 Tablet
  • NOOK for iOS
  • NOOK for Android
  • NOOK Kids for iPad
  • PC/Mac
  • NOOK for Windows 8
  • NOOK for PC
  • NOOK for Mac
  • NOOK for Web

Want a NOOK? Explore Now

NOOK Book (eBook - Course Book)
$54.49 price
(Save 42%)$95.00 List Price


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.

Read More Show Less

What People Are Saying

Charles Bean
The last twenty years have witnessed a revolution in macroeconomic modeling. Yet an integrated and accessible treatment of the new methods has been notably lacking. Fabio Canova's book fills that gap magnificently. It is surely destined to be an indispensable reference for both students and researchers for years to come.
Charles Bean, Bank of England
Lucrezia Reichlin
This book will become an invaluable reference for applied macroeconomists as well as a much-needed teaching tool for graduate macroeconomic courses. Anybody who has an interest in quantitative macroeconomics, either as an academic or as a practitioner, should buy it.
Lucrezia Reichlin, European Central Bank
Frank Smets
Dynamic general equilibrium models have become regular tools for policy analysis in central banks and other policy institutions. This book is a wonderful source for those who want to bring those models to the data. It is thorough and comprehensive, it has a great set of examples and exercises, and, above all, it provides many practical tips. A must-read for any applied macroeconomist.
Frank Smets, European Central Bank
Anders Vredin
To be able to describe and interpret business-cycle fluctuations using modern methods developed by researchers is crucial to economists who want to make and evaluate forecasts and policy advice. Fabio Canova has a long experience from research at the frontier, but also from teaching and from applied work at policy institutions such as central banks. His book provides an indispensable toolbox for any researcher that wants to have an influence on practical policy work.
Anders Vredin, Sveriges Riksbank
Marco Del Negro
The material covered in this book is extensive, and the author always strives to provide an in-depth analysis and discussion for every topic, complete with the most up-to-date developments in the literature. The combination of DSGE macroeconomics and econometrics makes this book a unique product, likely to become an essential reference for empirical macroeconomists and policymakers.
Marco Del Negro, FRB Atlanta
This book is unprecedented among econometrics books for the way it incorporates careful and sophisticated macroeconomic theory. It is unprecedented among books on dynamic macroeconomics for its level of practical statistical advice and econometric sophistication. There is simply nothing close to this book available. Many of the best young researchers will want to study and teach from it.
Thomas J. Sargent, New York University
Christopher Sims
This book treats econometric, computational, and macroeconomic substantive issues jointly. Nearly all existing books in this area are either strictly econometric, strictly computational, or focus on substance without taking up econometric and computational issues. The need for a treatment like this on the part of applied researchers means there will be wide interest in it.
Christopher Sims, Princeton University
Read More Show Less

Product Details

  • ISBN-13: 9781400841028
  • Publisher: Princeton University Press
  • Publication date: 9/19/2011
  • Sold by: Barnes & Noble
  • Format: eBook
  • Edition description: Course Book
  • Pages: 512
  • File size: 33 MB
  • Note: This product may take a few minutes to download.

Meet the Author

Fabio Canova is ICREA Research Professor at the University of Pompeu Fabra in Barcelona and Fellow of the Centre for Economic Policy Research in London.
Read More Show Less

Table of Contents

Preface xi

Chapter 1: Preliminaries 1
1.1 Stochastic Processes 2
1.2 Convergence Concepts 3
1.3 Time Series Concepts 8
1.4 Laws of Large Numbers 14
1.5 Central Limit Theorems 16
1.6 Elements of Spectral Analysis 18

Chapter 2: DSGE Models, Solutions, and Approximations 26
2.1 A Few Useful Models 27
2.2 Approximation Methods 45

Chapter 3: Extracting and Measuring Cyclical Information 70
3.1 Statistical Decompositions 72
3.2 Hybrid Decompositions 83
3.3 Economic Decompositions 100
3.4 Time Aggregation and Cycles 104
3.5 Collecting Cyclical Information 105

Chapter 4: VAR Models 111
4.1 TheWold Theorem 112
4.2 Specification 118
4.3 Moments and Parameter Estimation of a VAR.q/ 126
4.4 Reporting VAR Results 130
4.5 Identification 141
4.6 Problems 151
4.7 Validating DSGE Models with VARs 159

Chapter 5: GMM and Simulation Estimators 165
5.1 Generalized Method of Moments and Other Standard Estimators 166
5.2 IV Estimation in a Linear Model 169
5.3 GMM Estimation: An Overview 176
5.4 GMM Estimation of DSGE Models 191
5.5 Simulation Estimators 197

Chapter 6: Likelihood Methods 212
6.1 The Kalman Filter 214
6.2 The Prediction Error Decomposition of Likelihood 221
6.3 Numerical Tips 228
6.4 ML Estimation of DSGE Models 230
6.5 Two Examples 240

Chapter 7: Calibration 248
7.1 A Definition 249
7.2 The Uncontroversial Parts 250
7.3 Choosing Parameters and Stochastic Processes 252
7.4 Model Evaluation 259
7.5 The Sensitivity of the Measurement 279
7.6 Savings, Investments, and Tax Cuts: An Example 282

Chapter 8: Dynamic Macro Panels 288
8.1 From Economic Theory to Dynamic Panels 289
8.2 Panels with Homogeneous Dynamics 291
8.3 Dynamic Heterogeneity 304
8.4 To Pool or Not to Pool? 315
8.5 Is Money Superneutral? 321

Chapter 9: Introduction to Bayesian Methods 325
9.1 Preliminaries 326
9.2 Decision Theory 335
9.3 Inference 336
9.4 Hierarchical and Empirical Bayes Models 345
9.5 Posterior Simulators 353
9.6 Robustness 370
9.7 Estimating Returns to Scale in Spain 370

Chapter 10: Bayesian VARs 373
10.1 The Likelihood Function of an m-Variable VAR(q) 374
10.2 Priors for VARs 376
10.3 Structural BVARs 390
10.4 Time-Varying-Coefficient BVARs 397
10.5 Panel VAR Models 404

Chapter 11: Bayesian Time Series and DSGE Models 418
11.1 Factor Models 419
11.2 Stochastic Volatility Models 427
11.3 Markov Switching Models 433
11.4 Bayesian DSGE Models 440

Appendix A Statistical Distributions 463

References 469
Index 487

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)