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The experiment in macroeconometrics

Author

Listed:
  • John Aldrich

    (Division of Economics, University of Southampton)

  • Anna Staszewska

    (Chair of Econometric Models and Forecasts, University of Lodz)

Abstract

This paper examines the experiment in macroeconometrics, the different forms it has taken and the rules that have been proposed for its proper conduct. Here an "experiment" means putting a question to a model and getting an answer. Different types of experiment are distinguished and the justification that can be provided for a particular choice of experiment is discussed. Three types of macroeconometric modelling are considered: the Cowles (system of equations) approach, the vector autoregressive model approach and the computational experiment.

Suggested Citation

  • John Aldrich & Anna Staszewska, 2006. "The experiment in macroeconometrics," Working Papers 12, Department of Applied Econometrics, Warsaw School of Economics.
    • Handle: RePEc:wse:wpaper:12
    as

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    File URL: http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp05-06.pdf
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    References listed on IDEAS

    as
    1. Hausman,Daniel M., 1992. "The Inexact and Separate Science of Economics," Cambridge Books, Cambridge University Press, number 9780521415019, December.
    2. Hausman,Daniel M., 1992. "The Inexact and Separate Science of Economics," Cambridge Books, Cambridge University Press, number 9780521425230, December.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Staszewska, Anna, 2007. "Representing uncertainty about response paths: The use of heuristic optimisation methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.

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    More about this item

    Keywords

    experiment; impulse response analysis; ceteris paribus; structural invariance;
    All these keywords.

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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