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.

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THE ECONOMETRICS OF MACROECONOMIC MODELLING

Inflation equations derived from the P*-model

The P*-model is presented in Section 8.5.4. The basic variables of the model are calculated in much the same way for Norway as for the Euro area in the previous …

Forecast comparisons

Both models condition upon the rate of unemployment ut, average labour productivity at, import prices pit, and GDP mainland output yt. In order to investigate the dynamic forecasting properties we …

The NPCM in Norway

Consider the NPCM (with forward term only) estimated on quarterly Norwegian data[65]: Apt = 1.06 Apt+1 + 0.01 wst + 0.04 Apit + dummies (7.21) (0.11) (0.02) (0.02) x2(10) = …

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