THE ECONOMETRICS OF MACROECONOMIC MODELLING
Methodological issues of large-scale macromodels
The chapter focuses on methodology and describes the roles of statistics and of economic theory in macroeconomic modelling. Building on a long tradition, we suggest an approach to macroeconometric modelling which is based on fundamental statistical concepts like the joint distribution function of all observable variables. Users of macroeconomic models often demand a detailed description of the economy, and in order to accommodate that demand, realistic macroeconomic models invariably become too large to be specified, simultaneously. The suggested methodology therefore relies on valid conditioning and marginalisation of the joint distribution function in order to arrive at tractable subsystems, which can be analysed with statistical methods.
