Decomposing bodymass index gaps between mediterranean. An empirical investigation into the effects of quantitative easing, authormohammad hashem pesaran. Basic time series is an important part of the course. This paper provides an overview on the counterfactual and related approaches. An empirical investigation into the effects of quantitative easing, research in economics, elsevier, vol. In the counterfactual analysis, i am able to assess the validity of the argument made by either side of the debate. The counterfactual or potential outcome model has become increasingly standard for causal inference in epidemiological and medical studies. Bayesian macroeconometrics university of pennsylvania. Econometrics is used extensively in establishing statistical relationships between, for example, levels of national income and consumption in the economy, as a basis for formulating government economic policy, and is used by firms to forecast demand for their products. Application of mathematical and statistical techniques to economics in the study of problems, the analysis of data, and the development and testing of.
July 6, 2009 4 to consider multiple theoretical and empirical frameworks, bayesian analysis allows the researcher to assign probabilities to competing speci. It distinguishes between cases where the policy change affects the models parameters and where it does not. These include causal interactions, imperfect experiments, adjustment for. Macroeconometrics synonyms, macroeconometrics pronunciation, macroeconometrics translation, english dictionary definition of macroeconometrics. Macroeconometrics financial definition of macroeconometrics. A well known issue in the international macroeconomics literature is. Request pdf counterfactual analysis in macroeconometrics. Macroeconometrics definition of macroeconometrics by the. Report macroeconometrics free download as pdf file. Counterfactuals are a hot topic in economics today, at least among economists concerned with. Counterfactual analysis for policy evaluation november 20, 2014 davidson conference center, usc time allocation.
The term counterfactual has a variety of distinct, though connected, uses in philosophy, history, economics and statistics. Oct 10, 2014 we explore how institutional setups, in particular changes in political institutions through coups detat, can affect the way military expenditures are determined. In section 3, we present an overview of the econometric approach we adopt, in particular dealing with decomposition methodologies and counterfactual analysis. Introduction counterfactuals are a hot topic in economics today, at least among economists concerned with methodology. Section 5 presents the results from the empirical application, and section 6 concludes. This proposed final form analysis of policy can also be viewed as a prelude to a more complicated policy analysis using the dsge framework advanced in ps. A nonparametric dynamic causal model for macroeconometrics.
Demand modeling, forecasting, and counterfactuals, part i parag a. Birkbeck college, university of london, london, uk. Bayesian macroeconometrics northwestern university. Investigation into the effects of quantitative easing. Distinguishing between ii and iii allows counterfactual analysis by identifying how the relations among people iii affect farm decisions and agricultural. The books historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for. Pearl 2009 provides an overview of the concepts and develops an analysis of causality based on structural models. This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention.
Answers to some questions, such as whether gross domestic product gdp will decline over the next two quarters, can be ob. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. Hashem pesaran university of southern california and trinity college cambridge ron p smith birkbeck, university of london june 2014 abstract the policy innovations that followed the recent great recession, such as unconventional. Usually the counterfactuals on offer are proposed as causal surrogates.
April 18, 2010 1 1 introduction one of the goals of macroeconometric analysis is to provide quantitative answers to substantive macroeconomic questions. Structural macroeconometrics masao ogaki the ohio state university kyungho jang the university of alabama at birmingham hyoungseok lim the bank of korea first draft. Bayesian analysis involving the specication of a pointmass prior over model parameters. Counterfactual analysis in macroeconometrics iza institute of. The counterfactual conjecture may help them to work out the various causes of an outcome, and to prepare for the future e. The series of obtained regression estimates and counterfactual analysis graphic representation answers to questions mentioned above and identifies a nonnegligible effect of the pspp on the rebalancing of government bond portfolios towards riskier corporate bonds and equities across investor types in major eurozone countries. Wu and xia 2016, using shadow rates, find that in the absence of expansionary monetary policy in the us, the unemployment rate would have been 0. Counterfactual analysis of the effects of quantitative easing. The identifying assumption is that the treatments are nonanticipating. An empirical investigation into the effects of quantitative easing this paper is concerned with ex ante and ex post counterfactual.
The policy innovations that followed the recent great recession, such as unconventional monetary policies, prompted renewed interest in the question of how to measure the effectiveness of such policy interventions. The tests are based on the differences, over a given policy evaluation horizon, between the postintervention realizations of the target variable and the associated counterfactual outcomes. Nonlinear econometric techniques are used increasingly in. The abc of counterfactuals the enlightened economist. An empirical investigation into the effects of quantitative easing iza discussion paper no. This document, including the links in it, is a discussion of macroeconometric modeling. The true nature of the portfolio balance channel of. For every individual, u, there is a function that specifies the state of u s infection under two hypothetical conditions. On the other hand, viewed just as straight counterfactuals, they are a. The counterfactual conditional is the basis of experimental methods for establishing causality in the natural and social sciences, e. Report macroeconometrics exchange rate euro prueba. General theory 1936, the bible of macroeconomics, had referred to. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance.
Second, we provide su cient conditions for the nonparametric identi cation of these dynamic causal estimands. According to common judicial standard, judgment in favor of plaintiff should be made if and only if it is more probable than not that the defendants action was the cause for the plaintiffs damage or death. The incorporation of prior uncertainty into such an analysis through the specication of a di. Counterfactual thoughts tend to focus on background conditions, that is, enabling causes, rather than on direct, strong causes byrne, 2005. That is, the assignment mechanism of the current treatment does not depend on future potential outcomes. Applied macroeconometrics licenciatura in economics and licenciatura in business administration 2nd semester of 20032004 instructor. Methods this paper develops counterfactual analysis model base on pesarean and smith2016.
Var analysis, time series, exchange rates, output gap, inflation, macroeconometrics report. This is an introduction to classical time series analysis written by an. We use a counterfactual approach, the synthetic control method, and compare the evolution of the military burden for 40 countries affected by coups with the evolution of a synthetic counterfactual that replicates the initial. An empirical investigation into the effects of quantitative easing author links open overlay panel m. Causal inference based on counterfactuals bmc medical.
An empirical investigation into the effects of quantitative easing, authormohammad hashem pesaran and r. In philosophy counterfactual scenarios are often used in the analysis of causality, e. A methodological contribution in this area has been presented by pesaran and smith in their paper counterfactual analysis in macroeconometrics. A reduced form ardl approach to counterfactual policy analysis. The books below are listed approximately in the order that i think that you may nd them useful.
Econometric analysis and counterfactual studies in the. If anybody suffered lost sales, it was makers of cheap headphones, who should be joining sennheisers campaign. The chapters contributed to this volume by ulrich muller and mark watson, on the one hand, and harald uhlig on. 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. An empirical investigation into the effects of quantitative easing. I propose a methodology to conduct counterfactual analysis in a way that. The method they developed is interesting because it does. In my view, one of the key tasks and challenges for macroeconometrics is to produce accurate characterizations of uncertainty associated with model parameter estimates, policy e ects, and future or counterfactual events and developments.
An empirical investigation into the effects of quantitative easing this paper is concerned with ex ante and counterfactual analyses in the case of ex post macroeconometric applications where a single unit is observed before and after a. Course description this course covers some of the most important concepts, models and methods used in the empirical analysis. Presenters 30 minutes chair of the session, discussant and questions from the floor 30 minutes program thursday, november 20th, 2014 8. Application of mathematical and statistical techniques to economics in the study of problems, the analysis. Chapter 10 concludes the text by describing alternatives to the linearization approach to model solution presented in chapter 2. Demand modeling, forecasting, and counterfactuals, part i. In the first application, i show how to conduct counterfactual analysis with respect to pol icy rule changes, without having to fully specify a.
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