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Interactions between large macro models and time series analysis
Author(s) -
Granger Clive W.J.,
Jeon Yongil
Publication year - 2003
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.196
Subject(s) - simultaneity , macro , econometrics , series (stratigraphy) , economics , specification , econometric model , time series , mathematical economics , computer science , paleontology , physics , classical mechanics , machine learning , biology , programming language
Building large models, with little dynamics, was long considered to be an alternative to small dimensional time series models involving many lags. The advantages of one modelling methodology are compared to others; such as the size of the model, the use of economic theory, and simultaneity in specification. The question of how to evaluate the possible relative advantages of these alternatives is discussed. The conclusion is that in the future, time series models have to become larger, that is, involve more variables and that some lessons can be learnt from the construction of current large econometric models. Copyright © 2002 John Wiley & Sons, Ltd.