Handbook of Applied Econometrics: Macroeconomics

The first of two major surveys of the latest and most important developments in applied econometrics, the Handbook of Applied Econometrics, Volume I: Macroeconomics focuses on key topics in macroeconomics and finance. Each topic is covered by a leading international expert specially commissioned to address the methodological problems of undertaking empirical work in economics and to provide rigorous applications of econometric and statistical methods to economics problems. This authoritative overview of the applied work that is happening in the field makes it an essential resource for academics, researchers, graduate students and professional economists in industry and government. This volume covers econometric issues involved in a variety of applied macroeconomic problems:- the source of the stochastic structure of economic models, especially the role of expectations;- the stochastic properties of economic data and the implications for modeling, estimation and testing;- the role of economic theory in model building and the relation between statistical models and economic theory;- equilibrium and disequilibrium models.

Hashem Pesaran is Professor of Economics at the University of Cambridge and a Professorial Fellow of Trinity College, Cambridge. He is the founding editor of the Journal of Applied Econometrics (since 1986), and a Fellow of both the Econometrics Society and the Journal of Econometrics. He is a member of the Academic Panel of HM Treasury, and an advisory board member of the Economic Research Forum for Arab Countries, Iran and Turkey. He has published widely in econometrics and empirical macroeconomics and in 1990 won the George Sell prize for the best article published in the Economic Journal between 1990 and 1991. Michael R. Wickens is currently Professor of Economics at the University of York, and Visiting Professor of Economics at the Centre of Economic Forecasting, London Business School. He has been Professor of Economics at the University of Florida and University of Southampton and London Business School; Member and former Chairman H.M. Treasury Academic Panel; and Houblon Norman Fellow, Bank of England. He is an Associate Editor for the Journal of Applied Econometrics, Journal of Empirical Finance, and the Journal of Economic Dynamics and Control. He has published widely in the leading journals and his research interests include macroeconomics, financial econometrics, international finance, and econometric theory.