20여쪽의 간단한 짧은 밑줄 외엔 낙서없는 상급 / 양장본 (자켓 없음) / 492쪽 | 239*165mm | 언어 : English | 826g | ISBN : 9780691115047(0691115044)

The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises. Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists. 

Preface xi

Preliminaries 1

Stochastic Processes 2

Convergence Concepts 3

Time Series Concepts 8

Laws of Large Numbers 14

Central Limit Theorems 16

Elements of Spectral Analysis 18

DSGE Models, Solutions, and Approximations 26

A Few Useful Models 27

Approximation Methods 45

Extracting and Measuring Cyclical Information 70

Statistical Decompositions 72

Hybrid Decompositions 83

Economic Decompositions 100

Time Aggregation and Cycles 104

Collecting Cyclical Information 105

VAR Models 111

The Wold Theorem 112

Specification 118

Moments and Parameter Estimation of a VAR(q) 126

Reporting VAR Results 130

Identification 141

Problems 151

Validating DSGE Models with VARs 159

GMM and Simulation Estimators 165

Generalized Method of Moments and Other Standard Estimators 166

IV Estimation in a Linear Model 169

GMMEstimation; An Overview 176

GMM Estimation of...Preface xi

Preliminaries 1

Stochastic Processes 2

Convergence Concepts 3

Time Series Concepts 8

Laws of Large Numbers 14

Central Limit Theorems 16

Elements of Spectral Analysis 18

DSGE Models, Solutions, and Approximations 26

A Few Useful Models 27

Approximation Methods 45

Extracting and Measuring Cyclical Information 70

Statistical Decompositions 72

Hybrid Decompositions 83

Economic Decompositions 100

Time Aggregation and Cycles 104

Collecting Cyclical Information 105

VAR Models 111

The Wold Theorem 112

Specification 118

Moments and Parameter Estimation of a VAR(q) 126

Reporting VAR Results 130

Identification 141

Problems 151

Validating DSGE Models with VARs 159

GMM and Simulation Estimators 165

Generalized Method of Moments and Other Standard Estimators 166

IV Estimation in a Linear Model 169

GMMEstimation; An Overview 176

GMM Estimation of DSGE Models 191

Simulation Estimators 197

Likelihood Methods 212

The Kalman Filter 214

The Prediction Error Decomposition of Likelihood 221

Numerical Tips 228

ML Estimation of DSGE Models 230

Two Examples 240

Calibration 248

A Definition 249

The Uncontroversial Parts 250

Choosing Parameters and Stochastic Processes 252

Model Evaluation 259

The Sensitivity of the Measurement 279

Savings, Investments, and Tax Cuts: An Example 282

Dynamic Macro Panels 288

From Economic Theory to Dynamic Panels 289

Panels with Homogeneous Dynamics 291

Dynamic Heterogeneity 304

To Pool or Not to Pool? 315

Is Money Superneutral? 321

Introduction to Bayesian Methods 325

Preliminaries 326

Decision Theory 335

Inference 336

Hierarchical and Empirical Bayes Models 345

Posterior Simulators 353

Robustness 370

Estimating Returns to Scale in Spain 370

Bayesian VARs 373

The Likelihood Function of an m-Variable VAR(q) 374

Priors for VARs 376

Structural BVARs 390

Time-Varying-Coefficient BVARs 397

Panel VAR Models 404

Bayesian Time Series and DSGE Models 418

Factor Models 449

Stochastic Volatility Models 427

Markov Switching Models 433

Bayesian DSGE Models 440

A Statistical Distributions 463

References 469

Index 487