Her research interests include Applied Macroeconometrics
, and Time Series Modelling and Analysis.
Somehow he kept a straight face while asserting the merits of the natural rate of unemployment that was 'ground out by the Walrasian equations of general equilibrium' and corroborated in practice by rigorous and sustained econometric testing, even though: (i) he shared Keynes's suspicion of macroeconometric
modelling, and for very similar reasons; (ii) he was, again like Keynes, a confirmed Marshallian who had very little time for Walras; and (iii) his own predictive failures rivalled those of the neoclassical Keynesians he derided.
To neglect the impact of qualitative effects on total production yields unrealistic predictions on the future prospects of individual organizations, and weakens the forecasting ability of micro- and, hence, macroeconometrics
," Journal of Monetary Economics, 16, 1985, pp.
A Rational Expectations Approach to Macroeconometrics
, University of Chicago Press, Chicago, 1983.
Sargent, "After Keynesian macroeconometrics
," in After the Phillips Curve.
Estimation has been the standard approach in macroeconometrics
for over 40 years.
Nelson ) and the relations postulated in macroeconomic theory or measured in macroeconometrics
as the analogues of the ideal gas laws or other macrophysical relations.
Extensive support for the multiple forecast approach has been provided in the macroeconometrics
literature (Clemen, 1989; Zarnowitz and Braun).
Thomas Sargent has shown how structural macroeconometrics
can be used to analyze permanent changes in economic policy.
The first explanation refers to the critic brought to macroeconometrics
models and to forecasting models, and the second one is related to the unrealistic expectations of forecast accuracy.
of stock price fluctuations, Quarterly Journal of Business and Economics 32: 50-67.
Fields of Scientific Interest: econometrics and macroeconometrics
, macroeconomic modeling, multidimensional time series analysis with a focus on cointegrated VAR.
Dejong, David y Dave Chetan 2007 Structural Macroeconometrics
Bai's work along with the work of others in this group set the stage for a much broader use of structural factor models in macroeconometrics