Statistical Issues in Macroeconomic Modelling*

Eilev Jansen

Scandinavian Journal of Statistics, 2002, vol. 29, issue 2, 193-213

Abstract: The paper describes the influx of mathematical statistics in economics. It focuses on an approach to macroeconometric modelling which is based on fundamental statistical concepts like the joint distribution function of all observable variables for the whole sample period. The methodology relies on valid conditioning and marginalization of this function in order to arrive at tractable subsystems, which can be analysed with statistical methods. Two case studies—the modelling of the household sector and of wages and prices in the Norges Bank RIMINI model—highlight this.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:29:y:2002:i:2:p:193-213

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