Econometric Model Performance

Comparative Simulation Studies of the U.S. Economy

Lawrence R. Klein, Edwin Burmeister, Lawrence R. Klein, Edwin Burmeister

• Publisher: University of Pennsylvania Press Anniversary Collection
• Year: 2016
• ISBN:
  9781512803563
• Topic: Économie
• Subtopic: Économétrie

Models of the American economy exist in government, research institutes, universities, and private corporations. Given the proliferation, it is wise to take stock because these models come from diverse sources and describe different conditions from alternative points of view. They could be saying different things about the economy. The high-level comparative studies in this volume, gathered from several issues of the International Economic Review, with a substantive introduction and the addition of more comparative material, evaluate the performance of eleven models of the American economy: the Wharton Mark Ill Model; Brookings Model; Hickman-Coen Annual Model; Liu-Hwa Monthly Model; Data Resources, Inc. (DRI) Model; Federal Reserve Bank of St. Louis Model; Michigan Quarterly Econometric (MOEM) Model; Wharton Annual and Industry Model; Anticipation Version of the Wharton Mark Ill Model/Fair Model; U.S. Department of Commerce (BEA) Model.Each of the proprietors or builders of these models describes his own system in his own words. These studies come closer than ever before to standardizing model operations for testing purposes.Some of the models are monthly, while others are annual. but the quarterly unit of time is the most frequent. Some are demand oriented, others are supply oriented, and focus on the input-output sectors of the economy. Some use only observed. objective data; others use subjective. anticipatory data. Both large and small models are included. In spite of the diversity, the contributors have cooperated to trace the differences between their models to root causes and to report jointly the results of their research. There are also some general papers that look at model performance from outside the CEME group.

Table of contents

• Contents
• Introduction
• 1. Anticipations Variables in an Econometric Model: Performance of the Anticipations Version of Wharton Mark III
• 2. An Evaluation of a Short-Run Forecasting Model
• 3. St. Louis Model Revisited
• 4. A Monthly Econometric Model of the U.S. Economy
• 5. Notes on Testing the Predictive Performance of Econometric Models
• 6. On the Role of Expectations of Price and Technological Change in an Investment Function
• 7. Some Aspects of Stabilization Policies, the Monetarist Controversy, and the MPS Model
• 8. The Wharton Model Mark III: A Modern IS-LM Construct
• 9. The Data Resources Model: Uses, Structure and Analysis of the U.S. Economy
• 10. Some Multiplier and Error Characteristics of the BE A Quarterly Model
• 11. The Structure and Properties of the Michigan Quarterly Econometric Model of the U.S. Economy
• 12. The Wharton Long Term Model: Input-Output Within the Context of a Macro Forecasting Model
• 13. The Hickman-Coen Annual Growth Model: Structural Characteristics and Policy Responses
• 14. The Brookings Quarterly Model: As an Aid to Longer Term Economic Policy Analysis
• 15. Judging the Performance of Econometric Models of the U.S. Economy
• 16. Asymptotic Theory and Large Models
• 17. Birth Control in an Econometric Simulation
• 18. The NBER/NSF Model Comparison Seminar: An Analysis of Results