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A Small Macroeconometric Model for the Cyprus Economy

Author

Listed:
  • Aris Spanos

    (Central Bank of Cyprus)

  • Niki Papadopoulou

    (Central Bank of Cyprus)

Abstract

The single most crucial weakness of current macroeconometric modeling stems from the fact that modelers ‘quantify/estimate’ their structural modeldirectly, ignoring the fact that behind every structural model there is a statistical model whose validity vis-a-vis the data underwrites the reliability of all inferences.

Suggested Citation

  • Aris Spanos & Niki Papadopoulou, 2013. "A Small Macroeconometric Model for the Cyprus Economy," Working Papers 2013-2, Central Bank of Cyprus.
    • Handle: RePEc:cyb:wpaper:2013-2
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    References listed on IDEAS

    as
    1. International Monetary Fund, 2013. "Jamaica: Second Review Under the Extended Arrangement Under the Extended Fund Facility and Request for Modification of Performance Criteria," IMF Staff Country Reports 2013/378, International Monetary Fund.
    2. Ronald L. Cooper, 1972. "The Predictive Performance of Quarterly Econometric Models of the United States," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 813-947, National Bureau of Economic Research, Inc.
    3. Spanos,Aris, 1999. "Probability Theory and Statistical Inference," Cambridge Books, Cambridge University Press, number 9780521424080.
    4. International Monetary Fund, 2013. "Cyprus: Second Review Under the Extended Arrangement Under the Extended Fund Facility and Request for Modification of Performance Criteria," IMF Staff Country Reports 2013/374, International Monetary Fund.
    5. International Monetary Fund, 2013. "Jamaica: Request for an Arrangement Under the Extended Fund Facility," IMF Staff Country Reports 2013/126, International Monetary Fund.
    6. International Monetary Fund, 2013. "Cyprus: First Review Under the Extended Arrangement Under the Extended Fund Facility and Request for Modification of Performance Criteria," IMF Staff Country Reports 2013/293, International Monetary Fund.
    7. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    8. Spanos, Aris, 1989. "On Rereading Haavelmo: A Retrospective View of Econometric Modeling," Econometric Theory, Cambridge University Press, vol. 5(3), pages 405-429, December.
    9. Spanos, Aris, 1995. "On theory testing in econometrics : Modeling with nonexperimental data," Journal of Econometrics, Elsevier, vol. 67(1), pages 189-226, May.
    10. International Monetary Fund, 2013. "Cyprus: Request for an Arrangement Under the Extended Fund Facility," IMF Staff Country Reports 2013/125, International Monetary Fund.
    11. Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850.
    12. International Monetary Fund, 2013. "Pakistan: 2013 Article IV Consultation and Request for an Extended Arrangement Under the Extended Fund Facility," IMF Staff Country Reports 2013/287, International Monetary Fund.
    13. International Monetary Fund, 2013. "Greece: First and Second Reviews Under the Extended Arrangement Under the Extended Fund Facility, Request for Waiver of Applicability, Modification of Performance Criteria, and Rephasing of Access--St," IMF Staff Country Reports 2013/020, International Monetary Fund.
    14. Ronald G. Bodkin & Lawrence R. Klein & Kanta Marwah, 1991. "A History of Macroeconometric Model-Building," Books, Edward Elgar Publishing, number 51.
    15. Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124.
    16. Spanos, Aris, 1990. "The simultaneous-equations model revisited : Statistical adequacy and identification," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 87-105.
    17. David N. DeJong & Chetan Dave, 2011. "Structural Macroeconometrics Second Edition," Economics Books, Princeton University Press, edition 1, number 9622.
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    Citations

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    Cited by:

    1. Alarudeen Aminu & Joshua Adeyemi Ogunjimi, 2019. "A Small Macroeconometric Model of Nigeria," Economy, Asian Online Journal Publishing Group, vol. 6(2), pages 41-55.
    2. Ansgar Belke & Daniel Gros & Alcidi Cinzia & Leonor Coutinho & Alessandro Giovannini, 2014. "Exit State-of-play in Implementing Macroeconomic Adjustment Programmes in the Euro Area," ROME Working Papers 201405, ROME Network.
    3. Gros, Daniel & Alcidi, Cinzia & Belke, Ansgar & Coutinho, Leonor & Giovannini, Alessandro, 2014. "State-of-Play in Implementing Macroeconomic Adjustment Programmes in the Euro Area," Ruhr Economic Papers 482, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

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    More about this item

    Keywords

    structural vs. statistical model; statistical adequacy; statistical model validation; misspecification testing;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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