Hall / Henry Macroeconomic Modelling

1. Auflage 2014
ISBN: 978-1-4832-9547-3
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band Volume 172, 426 Seiten, Web PDF

Reihe: Contributions to Economic Analysis

This book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself.An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.

Autoren/Hrsg.

Hall, S. G.

Henry, S. G. B.

Inhaltsverzeichnis

1;Front Cover;1
2;Macroeconomic Modelling;4
3;Copyright Page;5
4;Table of Contents;14
5;Introduction to the series;6
6;Dedication;8
7;PREFACE;10
8;Chapter 1. Dynamic Modelling and Rational Expectations;18
8.1;1 Introduction;18
8.2;2 General analysis of dynamic models;22
8.3;3 Estimation methods;27
8.4;4 Empirical results;37
9;Chapter 2. Dynamic Modelling and Cointegration;64
9.1;1 Introduction;64
9.2;2 Stationarity;65
9.3;3 The background to cointegration theory;66
9.4;4 Integrated variables and cointegration;68
9.5;5 Estimating the cointegrating vector;73
9.6;6 Testing for cointegration;77
10;Chapter 3· Disequilibrium Models;106
10.1;1 Introduction;106
10.2;2 Disequilibrium models;110
10.3;3 Estimation methods;120
10.4;4 The specification and estimation of a disequilibrium model of the labour market;128
11;Chapter 4. Macro Models;148
11.1;1 Introduction;148
11.2;2 The key equations in the macro model;152
11.3;3 Conclusions;183
12;Chapter 5. Model Solutions, Dynamic Tracking and Mechanical Forecasts;184
12.1;1 Introduction;184
12.2;2 Solving large non-linear models;185
12.3;3 Solving non-linear models with consistent and rational expectations;197
13;Chapter 6. Stochastic Analysis in Non-Linear Models;238
13.1;1 Introduction;238
13.2;2 A general background;239
13.3;3 An application of stochastic simulation;264
13.4;4 Testing if a non-linear model is bijective;288
13.5;5 Estimating the uncertainty of a model's simulation properties;295
14;Chapter 7. Optimal Control and Dynamic Analysis of Macro Economic Models;310
14.1;1 Introduction;310
14.2;2 Linear theory of optimal control : an overview of the finite case;311
14.3;3 Optimal control solutions using non-linear models;325
14.4;4 Optimal control exercises using complete macro models;336
15;Chapter 8. The Issue of Time Inconsistency in Macro Policy;370
15.1;1 Introduction;370
15.2;2 Game theory : some basic concepts;371
15.3;3 The initial analysis of time inconsistency;376
15.4;4 The linear structurally dynamic case;381
15.5;5 Time inconsistency in a large scale non-linear model;386
15.6;6 Conclusions;402
16;References - Chapter 1;404
17;References - Chapter 2;407
18;References - Chapter 3;412
19;References - Chapter 4;415
20;References - Chapter 5;417
21;References - Chapter 6;419
22;References - Chapter 7;422
23;References - Chapter 8;424
24;Appendix;428