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.
|Date of creation:||20 Jan 2003|
|Date of revision:|
|Contact details of provider:|| Postal: GPO Box 2434, BRISBANE QLD 4001|
Web page: http://www.bus.qut.edu.au/faculty/economics/
More information through EDIRC
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.:
- Jordi Galí, 1992. "How Well Does The IS-LM Model Fit Postwar U. S. Data?," The Quarterly Journal of Economics, Oxford University Press, vol. 107(2), pages 709-738.
- Francis X. Diebold, 1997.
"The past, present, and future of macroeconomic forecasting,"
97-20, Federal Reserve Bank of Philadelphia.
- 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.
- Jere R. Behrman & James Hanson, 1979. "Short-Term Macroeconomic Policy in Latin America," NBER Books, National Bureau of Economic Research, Inc, number behr79-1, May.
- 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.
- Hendry, David F, 1980. "Econometrics-Alchemy or Science?," Economica, London School of Economics and Political Science, vol. 47(188), pages 387-406, November.
- Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3, December.
- Ronald G. Bodkin & Lawrence R. Klein & Kanta Marwah, 1991. "A History of Macroeconometric Model-Building," Books, Edward Elgar Publishing, number 51.
- Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001.
"A long run structural macroeconometric model of the UK,"
ESE Discussion Papers
35, Edinburgh School of Economics, University of Edinburgh.
- 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.
- 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.
- 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.
- Adrian C. Darnell & J. L. Evans, 1990. "The Limits of Econometrics," Books, Edward Elgar Publishing, number 119.
- 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.
- 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.
- 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.
- Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850, December.
- 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.
- 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.
- Hall, Stephen, 1995. "Macroeconomics and a Bit More Reality," Economic Journal, Royal Economic Society, vol. 105(431), pages 974-88, July.
- 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.
- Pesaran, M. H. & Smith, R. P., 1985. "Evaluation of macroeconometric models," Economic Modelling, Elsevier, vol. 2(2), pages 125-134, April.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Joseph E. Stiglitz, 1967.
"Distribution of Income and Wealth Among Individuals,"
Cowles Foundation Discussion Papers
238, Cowles Foundation for Research in Economics, Yale University.
- Stiglitz, Joseph E, 1969. "Distribution of Income and Wealth among Individuals," Econometrica, Econometric Society, vol. 37(3), pages 382-97, 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.
- Victor Zarnowitz, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," NBER Working Papers 0229, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Engle, R. & Hendry, D., 1990. "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers 99100, University of Oxford, Department of Economics.
- 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.
- Pagan, Adrian, 1987. " Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
- 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.
- Lawrence R. Klein, 1989. "Developments and Prospects in Macroeconometric Modeling," Eastern Economic Journal, Eastern Economic Association, vol. 15(4), pages 287-304, Oct-Dec.
When requesting a correction, please mention this item's handle: RePEc:qut:dpaper:131. 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: (Angela Fletcher)
If references are entirely missing, you can add them using this form.