Macroeconometrics Developments, Tensions, and Prospects
Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectiv
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RECENT ECONOMIC THOUGHT SERIES Editors: Warren J. Samuels Michigan State University East Lansing, Michigan, USA
William Darity, Jr. University of North Carolina Chapel Hill, North Carolina, USA
Other books in the series: Mercuro, N.: TAKING PROPERTY AND JUST COMPENSATION de Marchi, N.: POST-POPPERIAN METHODOLOGY OF ECONOMICS Gapinski, J.: THE ECONOMICS OF SAVING Darity, W.: LABOR ECONOMICS: PROBLEMS IN ANALYZING LABOR MARKETS Caldwell, B. and Boehm, S.: AUSTRIAN ECONOMICS: TENSIONS AND DIRECTIONS Tool, Marc R.: INSTITUTIONAL ECONOMICS: THEORY, METHOD, POLICY Babe, Robert E.: INFORMATION AND COMMUNICATION IN ECONOMICS Magnusson, Lars: MERCANTILIST ECONOMICS Garston, Neil: BUREAUCRACY: THREE PARADIGMS Friedman, James W.: PROBLEMS OF COORDINATION IN ECONOMIC ACTIVITY Magnusson, Lars: EVOLUTIONARY AND NEO-SCHUMPETERIAN APPROACHES TO ECONOMICS Reisman, D.: ECONOMIC THOUGHT AND POLITICAL THEORY Burley, P. and Foster, J.: ECONOMICS AND THERMODYNAMICS: NEW PERSPECTIVES ON ECONOMIC ANALYSIS Brennan, H.G. and Waterman, AC.: ECONOMICS AND RELIGION: ARE THEY DISTINCT? Klein, Philip A.: THE ROLE OF ECONOMIC THEORY Semmler, Willi: BUSINESS CYCLES: THEORY AND EMPIRICS Little, Daniel: ON THE RELIABILITY OF ECONOMIC MODELS: ESSAYS IN THE PHILOSOPHY OF ECONOMICS Weimer, David L.: INSTITUTIONAL DESIGN Davis, John B.: THE STATE OF THE INTERPRETATION OF KEYNES Wells, Paul: POST-KEYNESIAN ECONOMIC THEORY
Macroeconometrics Developments, Tensions, and Prospects
Edited by Kevin D. Hoover University of California Davis, California
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Springer Science+Business Media, LLC
Ubrary of Congress Cataloging-in-Publication Oata Macroeconometncs: developments, tensions, and prospects / edlted by Kevin D. Hoover. p. cm -(Recent economlC thought senes) Includes index ISBN 978-94-010-4293-2 ISBN 978-94-011-0669-6 (eBook) DOI 10.1007/978-94-011-0669-6 1 Macroeconomics-Econometnc models. 2. Econometrics I. Hoover, Kevm 0., 1955- 11. Senes. HBI72.5.M325 1995 339-dc20 95-16697 CIP Copyright © 1995' by Springer Science+Business Media New York Originally published by Kluwer Academic Publishers in 1995 Softcover reprint
01 the hardcover 1st edition 1995'
All rights reserved No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form er by any means, mechanical, photo-copymg, recording, or otherwlse, wlthout the prior wrltten permission of the publisher, Springer Science+Business Media, LLC,
Prmted on acid-free paper
This printing is a digital duplication ofthe original edition.
Contents
Contributing Authors
ix
Acknowledgments
xi
1 The Problem of Macroeconometrics Kevin D. Hoover Part I.
Alternative Econometric Methodologies
2
Recent Advances in Solving and Estimating Dynamic Macroeconomic Models Beth Fisher Ingram
Commentary Adrian Pagan
3
15
47
The Economics of VAR Models Fabio Canova
57
Commentary Masao Ogaki
99
4 Progressive Modeling of Macroeconomic Time Series: The LSE Methodology Grayham E. Mizon Commentary Charles H. Whiteman and Jon Faust
107 171
v
vi
CONTENTS
5
The Ec
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