Macroeconometric modeling: modern trends, problems, an example of the econometric model of the Russian economy
This research deals with methodological problems of econometric modeling for the Russian economy of 1990–2000s with respect to modern trends in macroeconomic and econometric theory. The authors propose a two-stage procedure of modeling. At the first stage a disaggregated dynamical model is created aimed at theoretical description of the main sectors of the Russian economy: export-oriented, inner-oriented, gas, infrastructural monopolies, monetary, budget, household income and expenditure sectors. At the second stage an econometric model is proposed which includes the nonstationary cointegration type and the balance type relationships and identities. This system of equations is solved simultaneously and used for the analysis of short-term and medium-term shocks and projections.
References listed on IDEAS
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- Perron, P, 1988.
"The Great Crash, The Oil Price Shock And The Unit Root Hypothesis,"
338, Princeton, Department of Economics - Econometric Research Program.
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
- Basdevant, Olivier, 2000. "An econometric model of the Russian Federation," Economic Modelling, Elsevier, vol. 17(2), pages 305-336, April.
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