Principles of macroeconometric modeling
type: Item
instance of: scholarly article
zbMATH Open document ID: 0979.91067
author: Lawrence R. Klein
author: Aleksander Welfe
author: Władysław Welfe
publication date: 2001-04-03T00:00:00Z
Mathematics Subject Classification ID: 91B64
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62-02
zbMATH DE Number: 1583747
zbMATH Keywords: central planning
zbMATH Keywords: cointegration
zbMATH Keywords: forecasting
zbMATH Keywords: LINK
zbMATH Keywords: macroeconometrics
zbMATH Keywords: multiplier
zbMATH Keywords: policy simulation
zbMATH Keywords: VAR
MaRDI profile type: Publication
title: Principles of macroeconometric modeling
published in: Advanced Textbooks in Economics
review text: This book is a much revised edition of Professor Klein's ``Lectures in Econometrics'' (1983; Zbl 0539.62119) published twenty years ago. This antecedent can be seen as an advantage as this book covers quite a bit of material that is only superficially reviewed by the contemporary textbook. It may also make this text look a bit dated. In particular, the fancy time-series analysis à la P. C. B. Phillips is missing. The Granger-Newbold's cointegration approach and VAR analysis are only touched upon although with some deep insights one would expect from a Nobel Prize winner. NEWLINENEWLINENEWLINEThe first four chapters cover structural modeling of static economic equilibrium. Chapter 1 presents an introduction to macroeconomics for beginners and its translation in terms of econometrics, drawing attention to the dichotomy stock/flow. Chapter 2 presents the equivalent for a Centrally Planned/Transition Economy. Chapter 3 discusses the modeling of the major equations of interest in macroeconomics, i.e. aggregate supply and demand functions, production functions and capacity utilization, price-wage mechanism, and financial flows. Chapter 4 presents the UN model for international linkages, LINK. NEWLINENEWLINENEWLINEThe remaining chapters cover specific issues. Chapter 5 discusses the practice and pitfalls of simulation analysis. Chapter 6 presents a short primer on model validation. Chapter 7 covers dynamic analysis including spectral analysis, VAR, cointegration and rational expectations. Chapter 8 addresses policy analysis and simulation. Chapter 9 discusses forecasting.
reviewed by: Gabriel Talmain
description: scientific article