Global and National Macroeconometric Modelling

• Introduces the long-run structural approach to macroeconometric modelling in the context of global and national economies
• Provides a step-by-step description of the development and use of a model of the UK economy
• Written from a real world perspective to ensure the techniques illustrated can be replicated or applied in new contexts

Readership: Academics and graduate students with an interest in macroeconomics, finance, and econometrics. Central bankers responsible for research, policymaking, and forecasting.

Anthony Garratt, Senior Lecturer, Birkbeck College, University of London, Kevin Lee, Professor of Economics, University of Leicester, M. Hashem Pesaran, Professor of Economics, Cambridge University and University of Southern California, and Yongcheol Shin, Professor of Economics, Leeds University Business School

1: Introduction
2: Macroeconometric Modelling: Alternative Approaches
3: National and Global Structural Macroeconometric Modelling
4: An Economic Theory of the Long Run
5: An Economic Theory of the Short Run
6: Econometric Methods: A Review
7: Probability Forecasting: Concepts and Analysis
8: The UK Macroeconomy
9: A Long-Run Structural Model of the UK
10: Impulse Response and Trend/ Cycle Properties of the UK Model
11: Probability Event Forecasting with the UK Model
12: Global Modelling and Other Applications
13: Concluding Remarks
Appendix A: Derivation of the Interest Rate Rule
Appendix B: Invariance Properties of the Impulse Responses with respect to Monetary Policy Shocks
Appendix C: Data for the UK Model
Appendix D: Gauss Programs and Result Files