an:01583747
Zbl 0979.91067
Klein, Lawrence R.; Welfe, Aleksander; Welfe, W??adys??aw
Principles of macroeconometric modeling
EN
Advanced Textbooks in Economics. 36. Amsterdam: North-Holland. 366 p. (1999).
1999
b
91B64 91-02 62P20 62M20 62M15 91B84 62-02
central planning; cointegration; forecasting; LINK; macroeconometrics; multiplier; policy simulation; VAR
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 ?? 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.
Gabriel Talmain (York)
Zbl 0539.62119