Edited by Nigar Hashimzade, Professor, Department of Economics and Finance, Brunel University London and Michael A. Thornton, Senior Lecturer, Department of Economics and Related Studies, University of York, UK

• Contents:1. Introduction Nigar Hashimzade and Michael A. Thornton2. A Review of Econometric Concepts and Methods for Empirical Macroeconomics Kerry Patterson and Michael A. ThorntonPART I: PROPERTIES OF MACROECONOMIC DATA3. Trends, Cycles and Structural Breaks Terence C. Mills4. Unit Roots, Non-linearities and Structural Breaks Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov5. Filtering Macroeconomic DataD.S.G. Pollock PART II: MODELS FOR MACROECONOMIC DATA ANALYSIS6. Vector Autoregressive Models Helmut Lütkepohl7. Cointegration and Error CorrectionJames Davidson8. Estimation and Inference in Threshold Type Regime Switching ModelsJesús Gonzalo and Jean-Yves Pitarakis9. Testing Structural Stability in Macroeconometric Models Otilia Boldea and Alastair R. Hall 10. Dynamic Panel Data ModelsBadi H. Baltagi11. Factor ModelsJörg Breitung and In Choi12. Conditional Heteroskedasticity in Macroeconomic Data: UK Inflation, Output Growth and their Uncertainties Menelaos Karanasos and Ning Zeng13. Temporal Aggregation in MacroeconomicsMichael A. Thornton and Marcus J. Chambers PART III: ESTIMATION AND EVALUATION FRAMEWORKS IN MACROECONOMICS14. Generalized Method of MomentsAlastair R. Hall15. Maximum Likelihood Estimation of Time Series Models: The Kalman Filter and BeyondTommaso Proietti and Alessandra Luati16. Bayesian MethodsLuc Bauwens and Dimitris Korobilis17. Forecasting in MacroeconomicsRaffaella Giacomini and Barbara RossiPART IV: APPLICATIONS I: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS18. The Science and Art of DSGE Modelling: I – Construction and Bayesian EstimationCristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang19. The Science and Art of DSGE Modelling: II – Model Comparisons, Model Validation, Policy Analysis and General DiscussionCristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang20. Generalized Method of Moments Estimation of DSGE ModelsFrancisco J. Ruge-Murcia21. Bayesian Estimation of DSGE Models Pablo A. Guerrón-Quintana and James M. Nason PART V: APPLICATIONS II: VECTOR AUTOREGRESSIVE MODELS22. Structural Vector AutoregressionsLutz Kilian23. Vector Autoregressive Models for Macroeconomic Policy AnalysisSoyoung KimPART VI: APPLICATIONS III: CALIBRATION AND SIMULATIONS24. Calibration and Simulation of DSGE ModelsPaul Gomme and Damba Lkhagvasuren25. Simulation and Estimation of Macroeconomic Models in DynareJoão MadeiraIndex

Edited by Nigar Hashimzade, Professor, Department of Economics and Finance, Brunel University London and Michael A. Thornton, Senior Lecturer, Department of Economics and Related Studies, University of York, UK

• Contents:1. Introduction Nigar Hashimzade and Michael A. Thornton2. A Review of Econometric Concepts and Methods for Empirical Macroeconomics Kerry Patterson and Michael A. ThorntonPART I: PROPERTIES OF MACROECONOMIC DATA3. Trends, Cycles and Structural Breaks Terence C. Mills4. Unit Roots, Non-linearities and Structural Breaks Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov5. Filtering Macroeconomic DataD.S.G. Pollock PART II: MODELS FOR MACROECONOMIC DATA ANALYSIS6. Vector Autoregressive Models Helmut Lütkepohl7. Cointegration and Error CorrectionJames Davidson8. Estimation and Inference in Threshold Type Regime Switching ModelsJesús Gonzalo and Jean-Yves Pitarakis9. Testing Structural Stability in Macroeconometric Models Otilia Boldea and Alastair R. Hall 10. Dynamic Panel Data ModelsBadi H. Baltagi11. Factor ModelsJörg Breitung and In Choi12. Conditional Heteroskedasticity in Macroeconomic Data: UK Inflation, Output Growth and their Uncertainties Menelaos Karanasos and Ning Zeng13. Temporal Aggregation in MacroeconomicsMichael A. Thornton and Marcus J. Chambers PART III: ESTIMATION AND EVALUATION FRAMEWORKS IN MACROECONOMICS14. Generalized Method of MomentsAlastair R. Hall15. Maximum Likelihood Estimation of Time Series Models: The Kalman Filter and BeyondTommaso Proietti and Alessandra Luati16. Bayesian MethodsLuc Bauwens and Dimitris Korobilis17. Forecasting in MacroeconomicsRaffaella Giacomini and Barbara RossiPART IV: APPLICATIONS I: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS18. The Science and Art of DSGE Modelling: I – Construction and Bayesian EstimationCristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang19. The Science and Art of DSGE Modelling: II – Model Comparisons, Model Validation, Policy Analysis and General DiscussionCristiano Cantore, Vasco J. Gabriel, Paul Levine, Joseph Pearlman and Bo Yang20. Generalized Method of Moments Estimation of DSGE ModelsFrancisco J. Ruge-Murcia21. Bayesian Estimation of DSGE Models Pablo A. Guerrón-Quintana and James M. Nason PART V: APPLICATIONS II: VECTOR AUTOREGRESSIVE MODELS22. Structural Vector AutoregressionsLutz Kilian23. Vector Autoregressive Models for Macroeconomic Policy AnalysisSoyoung KimPART VI: APPLICATIONS III: CALIBRATION AND SIMULATIONS24. Calibration and Simulation of DSGE ModelsPaul Gomme and Damba Lkhagvasuren25. Simulation and Estimation of Macroeconomic Models in DynareJoão MadeiraIndex