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Handbook of Research Methods and Applications in Empirical Macroeconomics

Edited by Nigar Hashimzade () and Michael Thornton ()

in Books from Edward Elgar Publishing

Abstract: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading.

Keywords: Economics and Finance; Research Methods (search for similar items in EconPapers)
JEL-codes: B4 (search for similar items in EconPapers)
Date: 2013
ISBN: 9780857931016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

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Chapters in this book:

Ch 1 Introduction , pp 1-3 Downloads
Nigar Hashimzade and Michael Thornton
Ch 2 A review of econometric concepts and methods for empirical macroeconomics , pp 4-42 Downloads
Kerry Patterson and Michael Thornton
Ch 3 Trends, cycles and structural breaks , pp 45-60 Downloads
Terence C. Mills
Ch 4 Unit roots, non-linearities and structural breaks , pp 61-94 Downloads
Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov
Ch 5 Filtering macroeconomic data , pp 95-136 Downloads
David Pollock
Ch 6 Vector autoregressive models , pp 139-164 Downloads
Helmut Lütkepohl
Ch 7 Cointegration and error correction , pp 165-188 Downloads
James Davidson
Ch 8 Estimation and inference in threshold type regime switching models , pp 189-205 Downloads
Jesus Gonzalo and Jean-Yves Pitarakis
Ch 9 Testing structural stability in macroeconometric models , pp 206-228 Downloads
Otilia Boldea and Alastair R. Hall
Ch 10 Dynamic panel data models , pp 229-248 Downloads
Badi Baltagi
Ch 11 Factor models , pp 249-265 Downloads
Jörg Breitung and In Choi
Ch 12 Conditional heteroskedasticity in macroeconomics data: UK inflation, output growth and their uncertainties , pp 266-288 Downloads
Menelaos Karanasos and Ning Zeng
Ch 13 Temporal aggregation in macroeconomics , pp 289-310 Downloads
Michael Thornton and Marcus Chambers
Ch 14 Generalized Method of Moments , pp 313-333 Downloads
Alastair R. Hall
Ch 15 Maximum likelihood estimation of time series models: the Kalman filter and beyond , pp 334-362 Downloads
Tommaso Proietti and Alessandra Luati
Ch 16 Bayesian methods , pp 363-380 Downloads
Luc Bauwens and Dimitris Korobilis
Ch 17 Forecasting in macroeconomics , pp 381-408 Downloads
Raffaella Giacomini and Barbara Rossi
Ch 18 The science and art of DSGE modelling: I – construction and Bayesian estimation , pp 411-440 Downloads
Cristiano Cantore, Vasco Gabriel, Paul Levine, Joseph Pearlman and Bo Yang
Ch 19 The science and art of DSGE modelling: II – model comparisons, model validation, policy analysis and general discussion , pp 441-463 Downloads
Cristiano Cantore, Vasco Gabriel, Paul Levine, Joseph Pearlman and Bo Yang
Ch 20 Generalized Method of Moments estimation of DSGE models , pp 464-485 Downloads
Francisco Ruge-Murcia
Ch 21 Bayesian estimation of DSGE models , pp 486-512 Downloads
Pablo Guerron and James Nason
Ch 22 Structural vector autoregressions , pp 515-554 Downloads
Lutz Kilian
Ch 23 Vector autoregressive models for macroeconomic policy analysis , pp 555-572 Downloads
Soyoung Kim
Ch 24 Calibration and simulation of DSGE models , pp 575-592 Downloads
Paul Gomme and Damba Lkhagvasuren
Ch 25 Simulation and estimation of macroeconomic models in Dynare , pp 593-608 Downloads
Joao Madeira

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