Macroeconomic Modelling

This book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself. An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.

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Year of publication:	2014 ; 1. Aufl.
Authors:	Hall, S.G. ; Henry, S.G.B.
Publisher:	[s.l.] : Elsevier Reference Monographs

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Front Cover; Macroeconomic Modelling; Copyright Page; Introduction to the series; Dedication; PREFACE; Table of Contents; Chapter 1. Dynamic Modelling and Rational Expectations; 1 Introduction; 2 General analysis of dynamic models; 3 Estimation methods; 4 Empirical results; Chapter 2. Dynamic Modelling and Cointegration; 1 Introduction; 2 Stationarity; 3 The background to cointegration theory; 4 Integrated variables and cointegration; 5 Estimating the cointegrating vector; 6 Testing for cointegration; Chapter 3· Disequilibrium Models; 1 Introduction; 2 Disequilibrium models
3 Estimation methods4 The specification and estimation of a disequilibrium model of the labour market; Chapter 4. Macro Models; 1 Introduction; 2 The key equations in the macro model; 3 Conclusions; Chapter 5. Model Solutions, Dynamic Tracking and Mechanical Forecasts; 1 Introduction; 2 Solving large non-linear models; 3 Solving non-linear models with consistent and rational expectations; Chapter 6. Stochastic Analysis in Non-Linear Models; 1 Introduction; 2 A general background; 3 An application of stochastic simulation; 4 Testing if a non-linear model is bijective
5 Estimating the uncertainty of a model's simulation propertiesChapter 7. Optimal Control and Dynamic Analysis of Macro Economic Models; 1 Introduction; 2 Linear theory of optimal control : an overview of the finite case; 3 Optimal control solutions using non-linear models; 4 Optimal control exercises using complete macro models; Chapter 8. The Issue of Time Inconsistency in Macro Policy; 1 Introduction; 2 Game theory : some basic concepts; 3 The initial analysis of time inconsistency; 4 The linear structurally dynamic case; 5 Time inconsistency in a large scale non-linear model
6 ConclusionsReferences - Chapter 1; References - Chapter 2; References - Chapter 3; References - Chapter 4; References - Chapter 5; References - Chapter 6; References - Chapter 7; References - Chapter 8; Appendix

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