Global and National Macroeconometric Modelling: A Long-Run Structural Approach

by Anthony Garratt, Kevin Lee, M. Hashem Pesaran, Yongcheol Shin

Overview

This book provides a comprehensive description of the state-of-the-art in modelling global and national economies. It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers. The book contains a thorough description of recent developments in macroeconomics and econometrics.

Product Details

ISBN-13:	9780199296859
Publisher:	Oxford University Press
Publication date:	10/05/2006
Pages:	400
Product dimensions:	9.30(w) x 6.30(h) x 1.10(d)

About the Author

Anthony Garratt is a Senior Lecturer in Economics at Birbeck College, University of London. He has previously worked at the London Business School (1989-1994), the Bank of England (1994-1996), Trinity College and the Department of Applied Economics at the University of Cambridge (1996-2002). Prior to moving to Birkbeck he was Senior Lecturer at the University of Leicester. Kevin Lee is a Professor of Economics at the University of Leicester. He studied economics and statistics at the Universities of Sheffield and Bristol and received his PhD from the London School of Economics. Prior joining the University of Leicester, he was a Fellow of Queens' College and a Senior Research Officer of the Department of Applied Economics at the University of Cambridge. He was Head of the Department of Economics at Leceister (1999-2002) and is currently Dean of the University's Graduate School. He is also an Honorary Research Associate at the University of Cambridge, Research Fellow at the University of Nottingham, and Associate Editor of Applied Economics. M. Hashem Pesaran is Professor of Economics at the University of Cambridge and University of Southern California. Previously he has been head of the Economic Research Department at the Central Bank of Iran, the Under-Secretary of the Ministry of Education, Iran, Professor of Economics at UCLA, and a Vice President at the Tudor Investment Corporation. Dr. Pesaran is founding editor of the Journal of Applied Econometrics and is Honorary President of Cambridge Econometrics. He has held visiting positions at Harvard University, UCLA, University of Pennsylvania, and the University of Southern California. He is author of several books and edited collections, and is a co-developer of the econometric software package Microfit, published by OUP. Yongcheol Shin is Professor of Applied Econometrics at the University of Leeds. He has previously held positions at the University of Edinburgh and at the University of Cambridge. He has over 20 journal publications in the areas of econometrics, empirical finance, and macroeconomics.

Table of Contents

1. Introduction2. Macroeconometric Modelling: Alternative Approaches3. National and Global Structural Macroeconometric Modelling4. An Economic Theory of the Long Run5. An Economic Theory of the Short Run6. Econometric Methods: A Review7. Probability Forecasting: Concepts and Analysis8. The UK Macroeconomy9. A Long-Run Structural Model of the UK10. Impulse Response and Trend: Cycle Properties of the UK Model11. Probability Event Forecasting with the UK Model12. Global Modelling and Other Applications13. Concluding RemarksAppendix A: Derivation of the Interest Rate RuleAppendix B: Invariance Properties of the Inpulse Responses to Monetary Policy ShocksAppendix C: Data for the UK Model