
Global and National Macroeconometric Modelling
A Long-Run Structural Approach
Oxford University Press
Published on 3. August 2006
Book
Hardback
400 pages
978-0-19-929685-9 (ISBN)
Description
This book provides a comprehensive description of the state-of-the-art in modelling global and national economies. It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers. The book contains a thorough description of recent developments in macroeconomics and econometrics, which should be of interest to advanced students and researchers, but is also written to be accessible and helpful to practitioners in government and the private sector. The long-run structural approach is illustrated with various global and national examples, including a step-by-step description of the development and use of a model of the UK economy. Throughout, the book emphasises the use of macroeconometric modelling in the real world and is written in a way that ensures the techniques illustrated can be replicated or applied in new contexts. The transparency and pragmatism of the modelling approach used within this book will be attractive to practitioners who need manageable and interpretable models to answer specific questions.
More details
Language
English
Place of publication
Oxford
United Kingdom
Target group
College/higher education
Professional and scholarly
Academics and graduate students with an interest in macroeconomics, finance, and econometrics. Central bankers responsible for research, policymaking, and forecasting.
Illustrations
Numerous tables and line drawings
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 26 mm
Weight
760 gr
ISBN-13
978-0-19-929685-9 (9780199296859)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions

Anthony Garratt | Kevin Lee | M. Hashem Pesaran
Global and National Macroeconometric Modelling
A Long-Run Structural Approach
Book
03/2012
1st Edition
Oxford University Press
€90.20
Shipment within 15-20 days
Persons
Anthony Garratt is a Senior Lecturer in Economics at Birbeck College, University of London. He has previously worked at the London Business School (1989-1994), the Bank of England (1994-1996), Trinity College and the Department of Applied Economics at the University of Cambridge (1996-2002). Prior to moving to Birkbeck he was Senior Lecturer at the University of Leicester.
Kevin Lee is a Professor of Economics at the University of Leicester. He studied economics and statistics at the Universities of Sheffield and Bristol and received his PhD from the London School of Economics. Prior joining the University of Leicester, he was a Fellow of Queens' College and a Senior Research Officer of the Department of Applied Economics at the University of Cambridge. He was Head of the Department of Economics at Leceister (1999-2002) and is currently Dean of the University's Graduate School. He is also an Honorary Research Associate at the University of Cambridge, Research Fellow at the University of Nottingham, and Associate Editor of Applied Economics.
M. Hashem Pesaran is Professor of Economics at the University of Cambridge and University of Southern California. Previously he has been head of the Economic Research Department at the Central Bank of Iran, the Under-Secretary of the Ministry of Education, Iran, Professor of Economics at UCLA, and a Vice President at the Tudor Investment Corporation. Dr. Pesaran is founding editor of the Journal of Applied Econometrics and is Honorary President of Cambridge Econometrics. He has held visiting positions at Harvard University, UCLA, University of Pennsylvania, and the University of Southern California. He is author of several books and edited collections, and is a co-developer of the econometric software package Microfit, published by OUP.
Yongcheol Shin is Professor of Applied Econometrics at the University of Leeds. He has previously held positions at the University of Edinburgh and at the University of Cambridge. He has over 20 journal publications in the areas of econometrics, empirical finance, and macroeconomics.
Kevin Lee is a Professor of Economics at the University of Leicester. He studied economics and statistics at the Universities of Sheffield and Bristol and received his PhD from the London School of Economics. Prior joining the University of Leicester, he was a Fellow of Queens' College and a Senior Research Officer of the Department of Applied Economics at the University of Cambridge. He was Head of the Department of Economics at Leceister (1999-2002) and is currently Dean of the University's Graduate School. He is also an Honorary Research Associate at the University of Cambridge, Research Fellow at the University of Nottingham, and Associate Editor of Applied Economics.
M. Hashem Pesaran is Professor of Economics at the University of Cambridge and University of Southern California. Previously he has been head of the Economic Research Department at the Central Bank of Iran, the Under-Secretary of the Ministry of Education, Iran, Professor of Economics at UCLA, and a Vice President at the Tudor Investment Corporation. Dr. Pesaran is founding editor of the Journal of Applied Econometrics and is Honorary President of Cambridge Econometrics. He has held visiting positions at Harvard University, UCLA, University of Pennsylvania, and the University of Southern California. He is author of several books and edited collections, and is a co-developer of the econometric software package Microfit, published by OUP.
Yongcheol Shin is Professor of Applied Econometrics at the University of Leeds. He has previously held positions at the University of Edinburgh and at the University of Cambridge. He has over 20 journal publications in the areas of econometrics, empirical finance, and macroeconomics.
Author
Senior Lecturer, Birkbeck College, University of London
Professor of Economics, University of Nottingham
Professor of Economics, Cambridge University and University of Southern California
Professor of Economics, Leeds University Business School
Content
1. Introduction ; 2. Macroeconometric Modelling: Alternative Approaches ; 3. National and Global Structural Macroeconometric Modelling ; 4. An Economic Theory of the Long Run ; 5. An Economic Theory of the Short Run ; 6. Econometric Methods: A Review ; 7. Probability Forecasting: Concepts and Analysis ; 8. The UK Macroeconomy ; 9. A Long-Run Structural Model of the UK ; 10. Impulse Response and Trend/ Cycle Properties of the UK Model ; 11. Probability Event Forecasting with the UK Model ; 12. Global Modelling and Other Applications ; 13. Concluding Remarks ; Appendix A: Derivation of the Interest Rate Rule ; Appendix B: Invariance Properties of the Impulse Responses with respect to Monetary Policy Shocks ; Appendix C: Data for the UK Model ; Appendix D: Gauss Programs and Result Files