A Small Macro-Econometric Model

The Palgrave Handbook of Econometrics, 2009

The first part of this chapter sets out a coherent approach to dynamic macroeconometric model building; the second part demonstrates the approach through building and evaluating a small econometric model; the final part demonstrates various ...

Economic Modelling, 1991

his report describes the structure and simulation properties of a small global macroeconomic model (SGM). Simulation experiments comparing SGM results with those of other world models suggest that SGM is a viable tool for macroeconomic policy analysis.

2005

2014

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

Journal of Policy Modeling, 1990

The macmeconometic (ME) and computable general equilibrium (CGE) models can be considered the cornerstones of the spectrum of quantitative models used today for macroeconomic policy analysis. In the paper we design two small-scale models (an ME and a CGE model) in such a manner that they are representative of their largescale counteq~~~, estimate them on a common database, and attempt a systematic comparative assessment of their simulation properties. We suggest various possibilities for use in policy analysis that explore and combine the results of both models. 'See, for example, Powell (1981). who follows a different nomenclature and uses the terms Keynes-Klein (KIQ and Walras-Johansen (WJ) model classes, respectively, in an attempt to label them by considering both the theoretical economist who provided tF? vision and one who used it as the Fnunework for a prototype model.

2000

A macroeconometric model of the Russian economy is developed, containing 13 estimated equations - covering major national account variables, government expenditures and revenues, interest rates, prices and the labour market - and a number of identities. The model is tailored to analyze effects of changes in the oil price and economic policy variables, and to make economic forecasts. The model

Luxembourg represents a very open economy, meaning that much of its production is addressed to foreign demand. Accordingly, this macroeconometric model adopts a two sector aggregation: the Export Sector (industry, international transport and international communications) and the Domestic Sector (building and construction and non-financial market services). For each of these two sectors, the model endogenously determines the price and volume of output as well as the factor demands (employment and investment). These can be used to construct aggregate series by adding the exogenous contribution of the remaining sectors of production (primarily financial and non-market services). Thus the model can be used to forecast real GDP, the GDP deflator, aggregate employment, aggregate investment, the aggregate wage bill, private consumption and the private consumption price deflator.

A simpler macroeconomic model of a developing economy is developed under the IS-LM and Mundell-Fleming model framework. The model is estimated and evaluated using the quarterly time-series data of Papua New Guinea, a small open developing economy. The macroeconometric version of the model, an over-identified simultaneous equation model with error correction specifications, is estimated by the 2SLS-CORC method. The specification of the model is appropriate and its predictive accuracy and structural stability are of acceptable standards. The model estimates are found useful to study the behaviour of the macroeconomic variables and to make forecasting in a developing economy. This model provides the basic structure to study macroeconomic behaviour and to make forecasts in developing economies. The model is capable of efficiently tracking the historical value of endogenous variables. The model must be appropriate for a small open developing economy with necessary modification for lag structure, structural break etc. It can be easily managed with minimum data input and resources. The model will be of interest to developing countries in the Asia-Pacific and other regions to conduct various policy analyses. The references of this article are secured to subscribers.

2006

This paper describes a quarterly macroeconometric model of the economy of People's Republic of China. The model comprises household consumption, investment, government, trade, production, prices, money, and employment blocks. The equilibrium-correction form is used for all the behavioral equations and the general→simple dynamic specification approach is adopted in order to ensure the best possible blend of a priori long-run theories with a posteriori identified short-run factors, as well as country-specific features. The tracking performance of the model is evaluated. Forecasting and empirical investigation of a number of topical macroeconomic issues utilizing model simulations have shown the model to be immensely useful. 3 The purpose of the modeling project is spelled out in the 2004 ADO Regional Technical Assistance Report (RETA: OTH 37423; see ADB 2004): "To improve the content and quality of ADO and ADO Update by developing quantitative tools/ econometric models in support of ADB's short-and medium-term country economic analysis." The RETA also specifies the required basic functions of the models: "to generate the short-and medium-term economic forecasts" and "to improve the analytical content of ADO and ADO Update through quantitative analysis of economic policy."