Testing Macroeconometric Models -

In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. __Testing Macroeconometric Models__ also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists. Contents List of Tables List of Figures Preface 1 Introduction 2 Theory 3 The Data, Variables, and Equations 4 Estimating and Testing Single Equations 5 The Stochastic Equations of the US Model 6 The Stochastic Equations of the ROW Model 7 Estimating and Testing Complete Models 8 Estimating and Testing the US Model 9 Testing the MC Model 10 Analyzing Properties of Models 11 Analyzing Properties of the US Model 12 Analyzing Properties of the MC Model 13 Conclusion Appendix A Tables for the US Model Appendix Β Tables for the ROW Model Bibliography Index This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconometric models. Anyone wanting to learn how to use these models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.