Quantitative Macroeconomic Modeling with Structural Vector Autoregressions – An EViews Implementation
by Sam Ouliaris, Adrian Pagan and Jorge Restrepo
Quantitative macroeconomic research is conducted in a number of ways. An important method has been the use of the technique known as Structural Vector Autoregressions (SVARs), which aims to gather information about dynamic processes in macroeconomic systems. This book sets out the theory underlying the SVAR methodology in a relatively simple way and discusses many of the problems that can arise when using the technique. It also proposes solutions that are relatively easy to implement using EViews 9.5. Its orientation is towards applied work and it does this by working with the data sets from some classic SVAR studies.
About The Authors
Sam Ouliaris is a Deputy Division Chief in the European and Middle East Division of the IMF’s Institute for Capacity Development (ICD). Prior to joining the IMF’s Institute in 2009, he was a staff member of the IMF’s Research Department (2003–2005), and its Western Hemisphere Department (2005–2009). During 2014-2015, Mr. Ouliaris was Chief of the IMF’s Internal Economics Training Unit, which is responsible for organizing training for IMF staff and visiting country officials.
Dr. Ouliaris holds a Ph.D. in Economics from Yale University specializing in econometrics (time-series analysis, macroeconomic forecasting) and macroeconomics. Before 2011, he was a professor at the National University of Singapore, which he joined in 1988. He has served as a consultant to a number of ministries in Asia, including the Monetary Authority of Singapore, and the Bank Negara Malaysia.
Adrian Pagan is an Emeritus Professor of Economics at the University of Sydney and a Professorial Research Fellow at the University of Melbourne. He has held Professorial appointments at the Australian National University, the University of Rochester, the University of New South Wales and Oxford University.
Professor Pagan is the author of around 150 articles and 4 books. He has been elected to Fellowships of the Econometric Society, the Australian Academy of Social Sciences, the Modelling and Simulation Society of Australia, the Journal of Econometrics, and the Journal of Applied Econometrics. He has been an editor of Econometric Theory and the Journal of Applied Econometrics and an associate editor of Econometrica. He has also co-edited Advanced Texts in Econometrics, (Oxford University Press) and Themes in Modern Econometrics (Cambridge University Press).
In addition to his academic work he has been a Member of the Reserve Bank of Australia Board (1995-2000) and has advised a number of central banks on modeling issues, including the Bank of England, the Norges Bank, the European Central Bank and the Reserve Bank of New Zealand.
Jorge Restrepo is a Senior Economist in the Institute for Capacity Development’s Western Hemisphere Division. Prior to joining ICD in 2010, Dr. Restrepo worked 10 years for the Central Bank of Chile’s Economic Research Department, and also worked at the Central Bank of Colombia. Mr. Restrepo received his Ph.D. in Economics from New York University. His research includes papers on inflation targeting, demand for money, equilibrium unemployment, fiscal rules, and central bank balance sheets.
You may download the full version of the book in PDF form here:
Quantitative Macroeconomic Modeling with Structural Vector Autoregressions (PDF, 5MB / right-click to save)
The authors have also provided a set of companion files containing examples of models and programs. These files are contained in zipped form here:
Example files (ZIP, 7MB / right-click to save)
A description of the files may be found here:
List of files (XLSX, 400KB / right-click to save)
|Chapter 1||An Overview of Macro-econometric System Modeling|
|Chapter 2||Vector Autoregressions: Basic Structure|
|Chapter 3||Using and Generalizing a VAR|
|Chapter 4||Structural Vector Autoregressions with I(0) Processes|
|Chapter 5||SVARs With I(0) Variables And Sign Restrictions|
|Chapter 6||Modeling SVARS With Permanent And Transitory Shocks|
|Chapter 7||SVARs With Cointegrated And I(0) Variables|