History of macroeconometric modelling: lessons from past experience
This paper reviews briefly the general literature on macroeconometric modelling and highlights some important lessons from more than half a century of model-building. It appears that from the late 1940s to the 1960s this field has contributed to the expanding knowledge of both economists and econometricians. However, from the early 1970s, several issues invalidated macroeconometric models. These issues are: theoretical contrasts with rational expectations theory, structural instability, the arbitrary division of endo-exogenous variables of the model, the existence of the problem of unit roots (spurious regressions) and insufficient amount of econometric \"know-how\". It is argued that with advancement of econometric \"know-how\", the disparity of opinions between advocates and critics of macroeconometric modelling can be narrowed.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Griliches, Zvi, 1986. "Economic data issues," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 25, pages 1465-1514 Elsevier.
- 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.
- Francis X. Diebold, 1998.
"The Past, Present, and Future of Macroeconomic Forecasting,"
Journal of Economic Perspectives,
American Economic Association, vol. 12(2), pages 175-192, Spring.
- Francis X. Diebold, 1997. "The Past, Present, and Future of Macroeconomic Forecasting," NBER Working Papers 6290, National Bureau of Economic Research, Inc.
- Francis X. Diebold, 1997. "The past, present, and future of macroeconomic forecasting," Working Papers 97-20, Federal Reserve Bank of Philadelphia.
- Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Eilev S. Jansen, 2002. "Statistical Issues in Macroeconomic Modelling-super-," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(2), pages 193-213.
- Sowey, Eric & Hargreaves, Colin, 1991. "Dissemination of macroeconometric models: Is a new age dawning?," Journal of Policy Modeling, Elsevier, vol. 13(4), pages 599-621.
- Jeffrey Nugent, 1975. "Policy-Oriented Macroeconometric Models for Development and Planning," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 4, number 4, pages 509-529 National Bureau of Economic Research, Inc.
- N. Gregory Mankiw, 1988.
"Recent developments in macroeconomics: a very quick refresher course,"
Federal Reserve Bank of Cleveland, pages 436-458.
- Mankiw, N Gregory, 1988. "Recent Developments in Macroeconomics: A Very Quick Refresher Course," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 436-49, August.
- N. Gregory Mankiw, 1987. "Recent Developments in Macroeconomics: A Very Quick Refresher Course," NBER Working Papers 2474, National Bureau of Economic Research, Inc.
- 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.
- Stiglitz, Joseph E, 1969.
"Distribution of Income and Wealth among Individuals,"
Econometric Society, vol. 37(3), pages 382-97, July.
- Joseph E. Stiglitz, 1967. "Distribution of Income and Wealth Among Individuals," Cowles Foundation Discussion Papers 238, Cowles Foundation for Research in Economics, Yale University.
- Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998.
"A Long-run Structural Macro-econometric Model of the UK,"
Cambridge Working Papers in Economics
9812, Faculty of Economics, University of Cambridge.
- Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, 04.
- A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987.
"Stochastic Trends and Economic Fluctuations,"
NBER Working Papers
2229, National Bureau of Economic Research, Inc.
- 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.
- Gali, Jordi, 1992.
"How Well Does the IS-LM Model Fit Postwar U.S. Data,"
The Quarterly Journal of Economics,
MIT Press, vol. 107(2), pages 709-38, May.
- Tom Doan, . "RATS programs to replicate Gali's QJE 1992 results," Statistical Software Components RTZ00063, Boston College Department of Economics.
- Wallis, Kenneth F, 1993.
"On Macroeconomic Policy and Macroeconometric Models,"
The Economic Record,
The Economic Society of Australia, vol. 69(205), pages 113-30, June.
- Wallis, K.F., 1992. "On Macroeconomic Policy and Macroeconometric Models," CEPR Discussion Papers 264, Centre for Economic Policy Research, Research School of Economics, Australian National University.
- Jere R. Behrman & James Hanson, 1979. "Short-Term Macroeconomic Policy in Latin America," NBER Books, National Bureau of Economic Research, Inc, number behr79-1, December.
- Pagan, Adrian, 1987. " Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
- Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850, March.
- Hall, Stephen, 1995. "Macroeconomics and a Bit More Reality," Economic Journal, Royal Economic Society, vol. 105(431), pages 974-88, July.
- 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.
- Adrian C. Darnell & J. L. Evans, 1990. "The Limits of Econometrics," Books, Edward Elgar, number 119.
- Engle, R. & Hendry, D., 1990.
"Testing Super Exogeneity And Invariance In Regression Models,"
Economics Series Working Papers
99100, University of Oxford, Department of Economics.
- Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
- Victor Zarnowitz, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," NBER Working Papers 0229, National Bureau of Economic Research, Inc.
- Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
- Pesaran, M. H. & Smith, R. P., 1985. "Evaluation of macroeconometric models," Economic Modelling, Elsevier, vol. 2(2), pages 125-134, April.
- Lawrence R. Klein, 1989. "Developments and Prospects in Macroeconometric Modeling," Eastern Economic Journal, Eastern Economic Association, vol. 15(4), pages 287-304, Oct-Dec.
- Hendry, David F, 1980. "Econometrics-Alchemy or Science?," Economica, London School of Economics and Political Science, vol. 47(188), pages 387-406, November.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:jpolmo:v:26:y:2004:i:2:p:265-281. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.