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Reflections on macroeconometric modeling

Author

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  • Fair Ray C.

    (Cowles Foundation, Department of Economics, Yale University, New Haven, CT 06520-8281, USA)

Abstract

I have been doing research in macroeconomics since the late 1960s, almost 50 years. In this paper I pause and take stock. The paper is part personal reflections on macroeconometric modeling, part a road map of the techniques of macroeconometric modeling, and part comments on what I think I have learned about how the macroeconomy works from my research in this area. Section 1 contrasts the methodology of the Cowles Commission approach with that of DSGE modeling. Section 2 presents the general model that I am using; Section 3 discusses theory; and Section 4 discusses estimation and solution. Section 5 then discusses various results from the estimation; Section 6 discusses various properties of the model; and Section 7 uses the model to analyze various economic events. Wealth effects play a large role in the analysis of past events.

Suggested Citation

  • Fair Ray C., 2015. "Reflections on macroeconometric modeling," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(1), pages 445-466, January.
    • Handle: RePEc:bpj:bejmac:v:15:y:2015:i:1:p:22:n:12
    DOI: 10.1515/bejm-2014-0045
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    References listed on IDEAS

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    1. Julio J. Rotemberg & Michael Woodford, 1998. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy: Expanded Version," NBER Technical Working Papers 0233, National Bureau of Economic Research, Inc.
    2. Mark Bils & Peter J. Klenow & Benjamin A. Malin, 2012. "Reset Price Inflation and the Impact of Monetary Policy Shocks," American Economic Review, American Economic Association, vol. 102(6), pages 2798-2825, October.
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