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Global and National Macroeconometric ModellingA Long-Run Structural Approach$
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Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Print publication date: 2006

Print ISBN-13: 9780199296859

Published to Oxford Scholarship Online: September 2006

DOI: 10.1093/0199296855.001.0001

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National and global structural macroeconometric modelling

National and global structural macroeconometric modelling

(p.33) 3 National and global structural macroeconometric modelling
Global and National Macroeconometric Modelling

Anthony Garratt (Contributor Webpage)

Kevin Lee (Contributor Webpage)

M. Hashem Pesaran (Contributor Webpage)

Yongcheol Shin (Contributor Webpage)

Oxford University Press

This chapter describes a framework for macroeconometric modelling, which draws out the links with economic theory relating to the long run and with theory relating to the short run. It elaborates a modelling strategy that can be employed to accommodate directly the theory of the long run, and notes the ways in which short-run theory can also be accommodated in national and global models. Recent literature on modelling short-run dynamics is reviewed, highlighting the difficulties in obtaining consensus on appropriate short-run restrictions and commenting on the approaches taken in the literature in examining policy shocks in general, and monetary policy in particular.

Keywords:   identification, long-run restrictions, short-run restrictions, error correction model, modelling strategy, policy shocks, monetary policy

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