Macroeconometrics

1. Front Matter

   Pages i-xi

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2. The Problem of Macroeconometrics

   1. The Problem of Macroeconometrics

      • Kevin D. Hoover

      Pages 1-12

3. Alternative Econometric Methodologies

   1. Front Matter

      Pages 13-13

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   2. Recent Advances in Solving and Estimating Dynamic, Stochastic Macroeconomic Models

      • Beth F. Ingram

      Pages 15-55

   3. The Economics of Var Models

      • Fabio Canova

      Pages 57-106

   4. Progressive Modeling of Macroeconomic Time Series The LSE Methodology

      • Grayham E. Mizon

      Pages 107-180

   5. The Econometrics of the General Equilibrium Approach to Business Cycles

      • Finn E. Kydland, Edward C. Prescott

      Pages 181-207

4. The Lucas Critique Reconsidered

   1. Front Matter

      Pages 209-209

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   2. Causal Orderings

      • Stephen F. LeRoy

      Pages 211-233

   3. On Policy Regimes

      • Stephen F. LeRoy

      Pages 235-261

   4. The Lucas Critique in Practice

      • Neil R. Ericsson, John S. Irons

      Pages 263-324

   5. Rational Expectations and the Economic Consequences of Changes in Regime

      • James D. Hamilton

      Pages 325-349

   6. Historical Macroeconomics and American Macroeconomic History

      • Charles W. Calomiris, Christopher Hanes

      Pages 351-424

5. Frontiers of Macroeconometrics

   1. Front Matter

      Pages 425-425

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   2. Modeling Volatility Dynamics

      • Francis X. Diebold, Jose A. Lopez

      Pages 427-472

   3. Dynamic Specification and Testing for Unit Roots and Cointegration

      • Anindya Banerjee

      Pages 473-516

   4. Nonlinear Models of Economic Fluctuations

      • Simon M. Potter

      Pages 517-567

6. Back Matter

   Pages 569-577

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Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.

• dynamics
• econometrics
• economic history
• economics
• equilibrium
• general equilibrium
• integration
• macroeconomics
• modeling
• time series
• value at risk
• value-at-risk
• volatility

• University of California, Davis, USA

  Kevin D. Hoover

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