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Comments on the evaluation of policy models

Author

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  • Clive W. J. Granger
  • Melinda Deutsch

Abstract

This paper examines the evaluation of models claimed to be relevant for policy making purposes. A number of tests are proposed to determine the usefulness of such models in the policy making process. These tests are applied to three empirical examples.

Suggested Citation

  • Clive W. J. Granger & Melinda Deutsch, 1991. "Comments on the evaluation of policy models," International Finance Discussion Papers 413, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgif:413
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    References listed on IDEAS

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    1. Hoover, Kevin D & Sheffrin, Steven M, 1992. "Causation, Spending, and Taxes: Sand in the Sandbox or Tax Collector for the Welfare State?," American Economic Review, American Economic Association, vol. 82(1), pages 225-248, March.
    2. Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 551-559.
    3. Robert J. Barro & Mark Rush, 1980. "Unanticipated Money and Economic Activity," NBER Chapters,in: Rational Expectations and Economic Policy, pages 23-73 National Bureau of Economic Research, Inc.
    4. Jeffrey A. Frankel, 1990. "International nominal targeting (INT): a proposal for overcoming obstacles to policy coordination," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    5. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    6. Dutkowsky, Donald H, 1984. " The Demand for Borrowed Reserves: A Switching Regression Model," Journal of Finance, American Finance Association, vol. 39(2), pages 407-424, June.
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    Cited by:

    1. Capistrán, Carlos, 2008. "Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1415-1427, November.
    2. Babula, Ronald A. & Price, Gregory K., 2012. "New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 372-388.
    3. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    4. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
    5. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
    6. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    7. Jagjit Chadha & Philip Schellekens, 1998. "Utility Functions For Central Bankers: The Not So Drastic Quadratic," FMG Discussion Papers dp308, Financial Markets Group.
    8. Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, Southern Economic Association, vol. 69(2), pages 239-265, October.
    9. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    10. Ulph, A., 1993. "Environmental policy and international trade when governments and producers act strategically," Discussion Paper Series In Economics And Econometrics 9318, Economics Division, School of Social Sciences, University of Southampton.
    11. Aldrich, J., 1992. "Haavelmo's Identification Theory," Discussion Paper Series In Economics And Econometrics 9218, Economics Division, School of Social Sciences, University of Southampton.
    12. Ulph, A., 1997. "Political institutions and the design of environmental policy in a federal system with asymmetric information," Discussion Paper Series In Economics And Econometrics 9718, Economics Division, School of Social Sciences, University of Southampton.
    13. Ulph, A., 1995. "International environmental regulation when national governments act strategically," Discussion Paper Series In Economics And Econometrics 9518, Economics Division, School of Social Sciences, University of Southampton.
    14. Qizilbash, M., 1994. "Bribery, efficiency wages and political protection," Discussion Paper Series In Economics And Econometrics 9418, Economics Division, School of Social Sciences, University of Southampton.
    15. Cook, S., 1996. "Econometric methodology I," Discussion Paper Series In Economics And Econometrics 9618, Economics Division, School of Social Sciences, University of Southampton.
    16. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
    17. Hendry, D.F. & Mizon, G.E., 1999. "On selecting policy analysis models by forecast accuracy," Discussion Paper Series In Economics And Econometrics 9918, Economics Division, School of Social Sciences, University of Southampton.

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    Keywords

    Econometric models ; Forecasting;

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