Specification, Estimation, and Analysis of Macroeconometric Models

Ray C. Fair
Harvard University Press | 1984 | ISBN: 0674831802 & 9780674831803

This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing lard, nonlinear macroeconomic models. Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multi-country model, Sargent’s classical macroeconomic model, autoaggresive and vector autoaggresive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models.

A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little addition programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair’s Unites States model is available from Urban System Research & Engineering, Inc.

Anyone wanting to learn how to use large macroeconometric models, including researchers, graduate students, economic forecasters, and people in business and government both in the Unites States and abroad, will find this an essential guidebook.