Reflections on macroeconometric modeling

Fair Ray C. ()
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Fair Ray C.: Cowles Foundation, Department of Economics, Yale University, New Haven, CT 06520-8281, USA

The B.E. Journal of Macroeconomics, 2015, vol. 15, issue 1, 445-466

Abstract: I have been doing research in macroeconomics since the late 1960s, almost 50 years. In this paper I pause and take stock. The paper is part personal reflections on macroeconometric modeling, part a road map of the techniques of macroeconometric modeling, and part comments on what I think I have learned about how the macroeconomy works from my research in this area. Section 1 contrasts the methodology of the Cowles Commission approach with that of DSGE modeling. Section 2 presents the general model that I am using; Section 3 discusses theory; and Section 4 discusses estimation and solution. Section 5 then discusses various results from the estimation; Section 6 discusses various properties of the model; and Section 7 uses the model to analyze various economic events. Wealth effects play a large role in the analysis of past events.

Keywords: Cowles Commission; macro modeling; policy properties (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1515/bejm-2014-0045

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