Reflections on macroeconometric modeling

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 lear...

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Bibliographic Details
Published in:The B.E. journal of macroeconomics 2015-01, Vol.15 (1), p.445-466
Main Author: Fair, Ray C.
Format: Article
Language:English
Subjects:
Cowles Commission
Econometrics
Economic impact
Economic theory
macro modeling
Macroeconomics
policy properties
Studies
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Summary: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.
ISSN:2194-6116
1935-1690
DOI:10.1515/bejm-2014-0045