Garratt Anthony, Lee Kevin, Pesaran M. Hashem, Shin Yongcheol. Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Oxford University Press, 2006. — 397 p.National and global macroeconometric modeling has had a long and venerable history in the UK, with important implications for macroeconomic policy in general and monetary policy in particular. It is an activity that involves sustained research input of several investigators with a variety of skills. The present work is not an exception and its completion has required the enthusiasm and commitment of a large number of individuals and institutions. It was given initial impetus by funding from the UK’s Economic and Social Research Council (Grant no. L116251016) and from the Newton Trust of Trinity College, Cambridge (under Anil Seal), to whom we are very grateful. They funded a project on ‘Structural Modeling of the UK Economy within a VAR Framework using Quarterly and Monthly Data’, conceived and originally housed in the Department of Applied Economics (DAE) at the University of Cambridge in the mid-1990s. The authors all worked at Cambridge at the time, along with Brian Henry and Martin Weale who were also co-applicants on the project. Although the team dispersed over the years (Garratt to Leicester and then Birkbeck; Henry to LBS and then Oxford; Lee to Leicester; Shin to Edinburgh and Leeds; and Weale to the National Institute), we remain very grateful for the resources and congenial atmosphere provided by co-researchers and colleagues during our time working at and visiting the DAE.
The research associated with the project extended well beyond the original intentions of the funded project, however, and has benefited from the help and expertise of many friends and colleagues. We are particularly grateful to Richard Smith and Ron Smith, who have collaborated with us and made essential contributions to various aspects of the work in the book, and we have received invaluable comments from Manuel Arrelano, Michael Binder, Carlo Favero, Paul Fisher, Clive Granger, David Hendry, Cheng Hsiao, George Kapetanios, Adrian Pagan, Bahram Pesaran, Til Schuermann, James Stock, Ken Wallis and Mike Wickens. The book draws on material from a variety of our published journal articles also, and we are particularly grateful to the constructive and enlightening comments received from the editors and referees of Econometric Reviews (especially regarding parts of the material of Chapter 6), Economic Journal (Chapters 4 and 9), Economics Letters (Chapter 6), Journal of the American Statistical Association (Chapters 7 and 11) and Journal of Econometrics (Chapter 6). And the project has also been assisted greatly by the contributions of Yoga Affandi, Mutita Akusuwan, Mahid Barakchian, James Mitchell, Dimitrios Papaikonomou and Eduardo Salazar.
While we have been keen to disseminate various aspects of our work in the form of publications in academic journals, it was always our intention to write up the project in the form of a book describing the entire process of model building, including the methodology tying the economics and the econometric techniques together, descriptions of the data collection and analysis, and the use of the model in various decision-making contexts. We hope that our description will increase transparency on the process of model building. In the light of new economic and econometric ideas, and with the advent of fast and readily available computing power, macroeconometric model-building is an activity that can be widely pursued for a better understanding of national and global economies and their interlinkages.We hope this book serves to reduce the investment required in the first stages of the sustained effort required in building and using macroeconometric models.