This comprehensive Handbook presents the current state of the art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalized method of moments, maximum likelihood and Bayesian estimation, and vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models.
Contents: 1. Introduction Nigar Hashimzade and Michael Thornton 2. A Review of Econometric Concepts and Methods for Empirical Macroeconomics Kerry Patterson and Michael Thornton PART I: PROPERTIES OF MACROECONOMIC DATA 3. Trends, Cycles and Structural Breaks Terence C. Mills 4. Unit Roots, Nonlinearities and Structural Breaks Niels Haldrup, Robinson Kruse, Timo Terasvirta, and Rasmus T. Varneskov 5. Filtering Macroeconomic Data Stephen Pollock PART II: MODELS FOR MACROECONOMIC DATA ANALYSIS 6. Vector Autoregressive Models Helmut Lutkepohl 7. Cointegration and Error Correction James Davidson 8. Estimation and Inference in Threshold Type Regime Switching Models Jesus Gonzalo and Jean-Yves Pitarakis 9. Testing Structural Stability in Macroeconometric Models Alastair Hall and Otillia Boldea 10. Dynamic Panel Data Models Badi Baltagi 11. Factor Models Jorg Breitung and In Choi 12. Conditional Heteroskedasticity in Macroeconomic Data Menelaos Karanasos and Ning Zeng 13. Temporal Aggregation in Macroeconomics Michael Thornton and Marcus Chambers PART III: ESTIMATION AND EVALUATION FRAMEWORKS IN MACROECONOMICS 14. Generalized Method of Moments Alastair Hall 15. Maximum Likelihood Estimation of Time Series Models: The Kalman Filter and Beyond Tommaso Proietti and Alessandra Luati 16. Bayesian Methods Luc Bauwens and Dimitris Korobilis 17. Forecasting in Macroeconomics Raffaella Giacomini and Barbara Rossi PART IV: APPLICATIONS I: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM (DSGE) MODELS 18. The Science and Art of DSGE Modeling I: Construction and Bayesian Estimation. II: Model Comparisons, Model Validation, Policy Analysis and General Discussion Cristiano Cantore, Vasco Gabriel, Paul Levine, Joseph Pearlman, and Bo Yang 19. Generalized Method of Moments Estimation of DSGE Models Fransisco Ruge-Murcia 20. Bayesian Estimation of DSGE Models Pablo Guerron-Quintana and James Nason PART V: APPLICATIONS II: VECTOR AUTOREGRESSIVE (VAR) MODELS 21. Structural Vector Autoregressions Lutz Kilian 22. Vector Autoregressive Models for Macroeconomic Policy Analysis Soyoung Kim PART VI: APPLICATIONS III: CALIBRATION AND SIMULATIONS 23. Calibration and Simulation of DSGE Models Paul Gomme and Damba Lkhagvasuren 24. Simulation and Estimation of Macroeconomic Index.
