Methods for Applied Macroeconomics Research by Fabio Canova, and Structural Macroeconometrics by David N. DeJong and Chetan Dave are two outstanding new books that provide an excellent introduction to what is sometimes called the New Macroeconometrics. This area of empirical macroeconomics is centered on the estimation and validation of dynamic stochastic general equilibrium (DSGE) models. Canova's and DeJong and Dave's volumes fill a tremendous gap in economists' libraries. Not only does the writing style of both books allow them to be adopted as a reference text for a class, but also the books come filled with applications, exercises, and pointers to computer code that will complement the lectures. Despite sharing the common theme of an introduction to the new macroeconometrics, each book has its own focus. Canova's book aims to survey a long list of techniques relevant to macroeconomists: filters, vector autoregressions (VARs), general method of moments (GMM), simulation methods, dynamic panels, maximum likelihood, and Bayesian econometrics; it also offers two preliminary chapters on probability theory and on DSGE modeling. In contrast, DeJong and Dave have the more modest goal of showing how to compute and estimate DSGE models, which makes it more suitable for a second year graduate class. In exchange, DeJong and Dave often dig a bit deeper into issues of interest to them and build the material at a more leisurely pace.
