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Structural Macroeconometrics: (Second Edition) Hardcover – October 23, 2011

ISBN-13: 978-0691152875 ISBN-10: 069115287X Edition: Second

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Structural Macroeconometrics: (Second Edition) + The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models + Dynamic General Equilibrium Modeling: Computational Methods and Applications
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Product Details

  • Hardcover: 440 pages
  • Publisher: Princeton University Press; Second edition (October 23, 2011)
  • Language: English
  • ISBN-10: 069115287X
  • ISBN-13: 978-0691152875
  • Product Dimensions: 9.3 x 6.4 x 1.4 inches
  • Shipping Weight: 1.6 pounds (View shipping rates and policies)
  • Average Customer Review: 4.5 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Best Sellers Rank: #403,118 in Books (See Top 100 in Books)

Editorial Reviews


Praise for the previous edition: "The central theme of this advanced textbook on macroeconomic time series analysis is that [dynamic stochastic general equilibrium models] 'serve directly as the foundations upon which empirical work may be conducted.' The book fulfills this aim admirably and covers standard statistical methods neatly; it is certainly worth the attention of econometricians."--Times Higher Education

"Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals."--World Book Industry

From the Inside Flap

"Structural Macroeconometrics is one of those essential books that every economist should read. It gives comprehensive yet detailed knowledge of the empirical arsenal now in use in cutting-edge macroeconomics. And its exercises prepare users to employ that arsenal to attack new real-world challenges. This edition expands on recent developments in nonlinear techniques and revamps the exposition on linear tools. The result is a beautiful, lively, and extremely useful work."--Roberto Chang, Rutgers University

"The first edition of this book was a gold mine of tools for formulating and estimating modern dynamic stochastic economic models suitable to macroeconomics, finance, and applied microeconomics. This edition is even better and describes how to use exciting new developments in dynamic estimation."--Thomas J. Sargent, New York University

"In the second edition of Structural Macroeconometrics, DeJong and Dave expand their excellent coverage of the tools macroeconomists use to solve, evaluate, and estimate models. Linear and nonlinear solution methods are carefully described and help the reader easily understand alternative approaches, and advanced empirical tools are clearly presented. The coverage of econometric techniques is up to date, extensive, and designed to lead seamlessly from the specification of structural models to their empirical evaluation."--Carl Walsh, University of California, Santa Cruz

Praise for the previous edition: "This book provides excellent guidance for bringing theoretical models to the forefront of macroeconometric analysis. It brings together in one place a collection of tools, methods, and procedures that are at the cutting edge of empirical macroeconomic research. It does this in a style that is accessible to first-year graduate students while providing sufficient detail that it will be a valuable reference for macroeconomists actively engaged in research. There is no other comparable existing work."--Charles Whiteman, University of Iowa

Praise for the previous edition: "Structural Macroeconometrics is a remarkably useful book for a wide variety of research economists at different stages of their careers. In addition to serving well the students and instructors, it is a convenient resource for researchers who want to refresh their skills or who have been exposed to only a subset of these techniques. The sheer breadth of material that this book covers guarantees that a large segment of its readership will fall into this category. The methods that DeJong and Dave present here will continue to be relevant for many years."--Charles Evans, Federal Reserve Bank of Chicago

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7 of 7 people found the following review helpful By E. R. on March 30, 2013
Format: Hardcover
I am a graduate student of Macroeconomics. I was once at the stage where I had a theoretical model that produced nice results that made a lot of sense, and the next step was to show if the model was any good in terms of matching the empirical data. I'd had a lot of experience with designing models, computing for solutions, dynamics, etc.; but I had virtually no experience with the data beyond OLS. Of course, I had taken a bunch of Econometrics classes (Time Series, Panel Data, Advanced Statistics) - but they were 98% theory. My adviser suggested that I looked at this book - boy was that a great advice!

It is an excellent how-to guide that describes the most common empirical approaches taken by macro people, talks about their strengths and weaknesses, provides a very nice general overview of the history behind them, critique, and current consensus on their usage. There are three very basic standard structural models which you are most likely to work with when doing your own research (RBC, Dynamic New Keynesian, and Asset Pricing models) that are introduced in the beginning and used throughout the book as examples for different empirical exercises. All the exercises are based on the data provided on the authors' website, and I learned a lot by doing the outlined exercises myself and replicating the tables and figures provided in the book.

The only thing to keep in mind is that the word "Structural" in the title may refer not only to the type of empirical analysis addressed in the book, but also to the book itself. It is quite thin for the amount of material it covers; it provides an outline of the popular methods of research and puts them into a common structure. I would not call it an introduction to structural empirical analysis.
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It's good. I'm sure I'll use it, but as more of a reference. The first 100 pages or so are nice and readable, but the back pages get a bit encyclopedic. I have no doubt that the authors know how to use all of this material, but some of the common points of confusion are glossed over. When material is treated in that manner it makes me wonder if the authors lack the deeper understanding to identify where those ambiguities are, or if they were running low on time and felt an overview was sufficient as opposed to putting deeper, more time-consuming thought into how the material was presented and how to plainly state what is being done. I'd give this 3.5 stars if I could, but I leaned toward 4 because it is a top-notch up-to-date treatment of this subject.
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