Long-Run Properties of Large-Scale Macroeconometric Models

Kenneth Frank Wallis · John D. Whitley

28 citations0/0 files storedEdward Elgar Publishing eBooks

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

Abstract

We consider alternative approaches to the evaluation of the long-run properties of dynamic nonlinear macroeconometric models, namely dynamic simulation over an extended database, or the construction and direct solution of the steady-state version of the model. An application to a small model of the UK economy is presented. The model is found to be unstable, but a stable form can be produced by simple alterations to the structure.

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References

1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom 1979The direct estimation of the equilibrium response in a linear dynamic model 1981Some Long Run Features of Dynamic Time Series Models 1986Models of the UK economy : a third review by the ESRC macroeconomic modelling bureau

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2006A long-run structural model of the UK

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