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Macroeconometric Modelling: Approaches and Experiences in Developing Countries

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Abstract

This paper selectively reviews various approaches of macroeconometric modelling and highlights some important lessons from more than half a century of model-building particularly in the context of Asian countries. Addressing several issues discussed in this paper can improve the use of macroeconometric models (MEM) in forecasting and policy analysis in the foreseeable future. This survey shows that most MEMs in developing countries are either becoming smaller in size or not being subject to a thorough diagnostic investigation. In the specification of models one should consider the interplay among macroeconomic policies of different countries via international trade and global financial markets. It is argued that the Project Link and the Fair multi-country model are two initiatives in the right direction. It also appears that with advancement of econometric "know-how", the disparity of opinions between advocates and critics of macroeconometric modelling can be narrowed.

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File URL: http://www.uow.edu.au/content/groups/public/@web/@commerce/@econ/documents/doc/uow012193.pdf
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Bibliographic Info

Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp05-10.

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Length: 14 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:uow:depec1:wp05-10

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Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
Phone: +612 4221-3659
Fax: +612 4221-3725
Web page: http://business.uow.edu.au/econ/index.html
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Keywords: Macroeconometric modelling; Asian Developing Countries;

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  1. Willman, Alpo & Kortelainen, Mika & Mannisto, Hanna-Leena & Tujula, Mika, 2000. "The BOF5 macroeconomic model of Finland, structure and dynamic microfoundations," Economic Modelling, Elsevier, vol. 17(2), pages 275-303, April.
  2. Sushanta Mallick, 2004. "A dynamic macroeconometric model for short-run stabilization in India," Applied Economics, Taylor & Francis Journals, vol. 36(3), pages 261-276.
  3. Abbas Valadkhani, 2003. "History Of Macroeconometric Modelling: Lessons From Past Experience," School of Economics and Finance Discussion Papers and Working Papers Series 131, School of Economics and Finance, Queensland University of Technology.
  4. Shan Jordan, 2002. "A Macroeconometric Model of Income Disparity in China," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 47-63.
  5. Francis X. Diebold, 1997. "The Past, Present, and Future of Macroeconomic Forecasting," NBER Working Papers 6290, National Bureau of Economic Research, Inc.
  6. Bodkin, Ronald G. & Marwah, Kanta, 1988. "Trends in macroeconomic modeling: The past quarter century," Journal of Policy Modeling, Elsevier, vol. 10(2), pages 299-315.
  7. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, vol. 84(2), pages 207-37, April.
  8. Hall, Stephen, 1995. "Macroeconomics and a Bit More Reality," Economic Journal, Royal Economic Society, vol. 105(431), pages 974-88, July.
  9. Fair, Ray C, 1974. "An Evaluation of a Short-Run Forecasting Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(2), pages 285-303, June.
  10. Zarnowitz, Victor, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," American Economic Review, American Economic Association, vol. 68(2), pages 313-19, May.
  11. Clive W.J. Granger & Yongil Jeon, 2003. "Interactions between large macro models and time series analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 1-10.
  12. N. Gregory Mankiw, 1988. "Recent Developments in Macroeconomics: A Very Quick Refresher Course," NBER Working Papers 2474, National Bureau of Economic Research, Inc.
  13. Victor Zarnowitz, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," NBER Working Papers 0229, National Bureau of Economic Research, Inc.
  14. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  15. Sastry, V K, 1975. "The Use of Macroeconomic Regression Models of Developing Countries: A Comment," Oxford Economic Papers, Oxford University Press, vol. 27(1), pages 156-65, March.
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