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Interactions between large macro models and time series analysis

Author

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  • Clive W.J. Granger

    (University of California, San Diego, USA)

  • Yongil Jeon

    (Centre Michigan University, USA)

Abstract

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.

Suggested Citation

  • Clive W.J. Granger & Yongil Jeon, 2003. "Interactions between large macro models and time series analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 1-10.
    • Handle: RePEc:ijf:ijfiec:v:8:y:2003:i:1:p:1-10
    DOI: 10.1002/ijfe.196
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    References listed on IDEAS

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    Cited by:

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    2. Valadkhani, A., 2005. "Macroeconomic Modelling: Approaches and Experiences in Development Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(1).
    3. Hartwell, Christopher A., 2018. "The “Hierarchy of Institutions” reconsidered: Monetary policy and its effect on the rule of law in interwar Poland," Explorations in Economic History, Elsevier, vol. 68(C), pages 37-70.
    4. Castilla, Adolfo, 2015. "Proyecto LINK y Econometría de Alta Frecuencia: Las últimas aportaciones econométricas de Lawrence R. Klein /LINK Project and High Frequency Econometrics: Recent Econometric Contributions of Lawrence ," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 33, pages 421-450, Mayo.
    5. Fildes, Robert & Kourentzes, Nikolaos, 2011. "Validation and forecasting accuracy in models of climate change," International Journal of Forecasting, Elsevier, vol. 27(4), pages 968-995, October.
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