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Interactions between large macro models and time series analysis

Author

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  • Clive W.J. Granger

    (University of California, San Diego, USA)

  • Yongil Jeon

    (Centre Michigan University, USA)

Abstract

Building large models, with little dynamics, was long considered to be an alternative to small dimensional time series models involving many lags. The advantages of one modelling methodology are compared to others; such as the size of the model, the use of economic theory, and simultaneity in specification. The question of how to evaluate the possible relative advantages of these alternatives is discussed. The conclusion is that in the future, time series models have to become larger, that is, involve more variables and that some lessons can be learnt from the construction of current large econometric models. Copyright © 2002 John Wiley & Sons, Ltd.

Suggested Citation

  • 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.
  • Handle: RePEc:ijf:ijfiec:v:8:y:2003:i:1:p:1-10
    DOI: 10.1002/ijfe.196
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    File URL: http://hdl.handle.net/10.1002/ijfe.196
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    References listed on IDEAS

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    1. Smith, Ron, 1998. "Emergent policy-making with macroeconometric models," Economic Modelling, Elsevier, vol. 15(3), pages 429-442, July.
    2. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    4. Barrett, Christopher B. & Olia, Aliakbar & Bailey, DeeVon, 1996. "Subdiscipline-Specific Journal Rankings In Economics," Economics Research Institute, ERI Study Papers 28346, Utah State University, Economics Department.
    5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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    Cited by:

    1. Valadkhani, Abbas, 2005. "Macroeconometric Modelling: Approaches and Experiences in Developing Countries," Economics Working Papers wp05-10, School of Economics, University of Wollongong, NSW, Australia.
    2. Fildes, Robert & Kourentzes, Nikolaos, 2011. "Validation and forecasting accuracy in models of climate change," International Journal of Forecasting, Elsevier, vol. 27(4), pages 968-995, October.
    3. repec:lrk:eeaart:35_2_5 is not listed on IDEAS
    4. Valadkhani, A., 2005. "Macroeconomic Modelling: Approaches and Experiences in Development Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(1).
    5. Castilla, Adolfo, 2015. "Proyecto LINK y Econometría de Alta Frecuencia: Las últimas aportaciones econométricas de Lawrence R. Klein /LINK Project and High Frequency Econometrics: Recent Econometric Contributions of Lawrence ," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 33, pages 421-450, Mayo.

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