Comparative Performance of U.S. Econometric Models

by Klein, Lawrence R.

• ISBN13: 9780195057720
• ISBN10: 0195057724
• Format: Hardcover
• Copyright: 1991-04-18
• Publisher: Oxford University Press

Summary

This volume compares strategic properties of the leading macroeconometric models of the United States. It summarizes the work of an ongoing seminar supported by the National Science Foundation and chaired by Lawrence R. Klein of the University of Pennsylvania. The Seminar meets three times annually. Comparisons are made across models for such characteristics as conventional multipliers (fiscal, monetary, and supply side shocks), J-curve response to dollar depreciation, and forecast performance under consistent assumptions. There are in-depth comparisons of some models and investigation of use of high frequency information to improve forecasts. There are also analyses of the sources of forecast error. The core structures of models, especially their ISLM cores, are compared. The volume contains one chapter on comparison across models of different developing countries. In addition to the contributions by participating model builders who meet regularly, the book contains critical appraisals by outsiders. The contributors include many distinguished economists in model use and analysis. Many are operators of the countries best known modelling facilities. The introduction was written by Lawrence R. Klein, winner of the Nobel Prize in Economic Science in 1980, for his work in construction and use of econometric models.

Table of Contents

Preface	p. v
Notes	p. vi
Contributors	p. ix
Overview	p. 1
Past, Present, and Possible Future of Macroeconometric Models and T heir Uses	p. 3
Performance of Quarterly Econometric Models of the United States: a New Round of Model Comparisons	p. 18
Notes	p. 41
References	p. 41
Comparing Macroeconomic Model Forecasts Under Common Assumptions	p. 69
Acknowledgments	p. 84
Notes	p. 84
Notes	p. 85
Comparisons of Model Structures	p. 87
the Is-Lm Cores of Three Econometric Models	p. 89
Concluding Remarks	p. 121
Concluding Remarks	p. 123
Concluding Remarks	p. 124
a Comparative Analysis of the Dri and Bea Models	p. 125
Notes	p. 160
Notes	p. 162
a Comparison of the Michigan and Fair Models	p. 168
References	p. 196
Additional Approaches to Model Comparisons and Forecasts	p. 199
Reappraisal of the Phillips Curve and Direct Effects of Money Supply on Inflation	p. 201
Notes	p. 220
Notes	p. 222
New Methocis for Using Monthly Data""to Improve Forecast Accuracy	p. 227
Notes	p. 246
Notes	p. 247
Stochastic-Simulation Testsof Nonlinear Econometric Models	p. 250
References	p. 258
Comparisons of Macroeconometric Models of Developing Economies	p. 260
Notes	p. 268
Notes	p. 269
External Reviews	p. 287
a New Round of U.S. Model Comparisons: a Limited Appraisal	p. 289
Notes	p. 312
Model Comparisons and Appraisals1	p. 316
Index	p. 321
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