Principles of macroeconometric modeling.

*(English)*Zbl 0979.91067
Advanced Textbooks in Economics. 36. Amsterdam: North-Holland. 366 p. (1999).

This book is a much revised edition of Professor Klein’s “Lectures in Econometrics” (1983; Zbl 0539.62119) published twenty years ago. This antecedent can be seen as an advantage as this book covers quite a bit of material that is only superficially reviewed by the contemporary textbook. It may also make this text look a bit dated. In particular, the fancy time-series analysis à la P. C. B. Phillips is missing. The Granger-Newbold’s cointegration approach and VAR analysis are only touched upon although with some deep insights one would expect from a Nobel Prize winner.

The first four chapters cover structural modeling of static economic equilibrium. Chapter 1 presents an introduction to macroeconomics for beginners and its translation in terms of econometrics, drawing attention to the dichotomy stock/flow. Chapter 2 presents the equivalent for a Centrally Planned/Transition Economy. Chapter 3 discusses the modeling of the major equations of interest in macroeconomics, i.e. aggregate supply and demand functions, production functions and capacity utilization, price-wage mechanism, and financial flows. Chapter 4 presents the UN model for international linkages, LINK.

The remaining chapters cover specific issues. Chapter 5 discusses the practice and pitfalls of simulation analysis. Chapter 6 presents a short primer on model validation. Chapter 7 covers dynamic analysis including spectral analysis, VAR, cointegration and rational expectations. Chapter 8 addresses policy analysis and simulation. Chapter 9 discusses forecasting.

The first four chapters cover structural modeling of static economic equilibrium. Chapter 1 presents an introduction to macroeconomics for beginners and its translation in terms of econometrics, drawing attention to the dichotomy stock/flow. Chapter 2 presents the equivalent for a Centrally Planned/Transition Economy. Chapter 3 discusses the modeling of the major equations of interest in macroeconomics, i.e. aggregate supply and demand functions, production functions and capacity utilization, price-wage mechanism, and financial flows. Chapter 4 presents the UN model for international linkages, LINK.

The remaining chapters cover specific issues. Chapter 5 discusses the practice and pitfalls of simulation analysis. Chapter 6 presents a short primer on model validation. Chapter 7 covers dynamic analysis including spectral analysis, VAR, cointegration and rational expectations. Chapter 8 addresses policy analysis and simulation. Chapter 9 discusses forecasting.

Reviewer: Gabriel Talmain (York)

##### MSC:

91B64 | Macroeconomic theory (monetary models, models of taxation) |

91-02 | Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance |

62P20 | Applications of statistics to economics |

62M20 | Inference from stochastic processes and prediction |

62M15 | Inference from stochastic processes and spectral analysis |

91B84 | Economic time series analysis |

62-02 | Research exposition (monographs, survey articles) pertaining to statistics |