A terrific new book titled, Quantitative Macroeconomic Modeling with Structural Vector Autoregressions – An EViews Implementation, is now available for free downloading from the EViews site. The book is written by Sam Ouliaris, Adrian Pagan, and Jorge Restrepo.
The "blurb" about this important new book reads:
"Quantitative macroeconomic research is conducted in a number of ways. An important method has been the use of the technique known as Structural Vector Autoregressions (SVARs), which aims to gather information about dynamic processes in macroeconomic systems. This book sets out the theory underlying the SVAR methodology in a relatively simple way and discusses many of the problems that can arise when using the technique. It also proposes solutions that are relatively easy to implement using EViews 9.5. Its orientation is towards applied work and it does this by working with the data sets from some classic SVAR studies."
In my view, EViews is certainly the natural choice for this venture. As the authors note in their Preface:
"A choice had to be made about the computer package that would be used to perform the quantitative work and EViews was eventually selected because of its popularity amongst IMF staff and central bankers more generally."
Gareth Thomas (of EViews) has pointed out to me that: "much of the book is covered in the IMF's free online macroeconomic forecasting course. The next iteration of which starts in February:
https://www.edx.org/course/macroeconometric-forecasting-imfx-mfx-0 "
https://www.edx.org/course/macroeconometric-forecasting-imfx-mfx-0 "
I'm sure that this new resource will be very well received!
Thank you Professor Giles for sharing this valuable book with your students. It's really a great book. It will help practitioners a lot.
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ReplyDeleteIt is a very helpful book for practitioners as well as learners. How can we access the .prg files that have been used in this book? It says it is in Eviews content folder. Is it available only for Reviews 9.5?
ReplyDeleteAny version of EViews will open them. You can also view them with any text editor - e.g., notepad.
Deletewho is the publisher ?
ReplyDeleteIt is self-published (by the co-authors).
DeleteThe book has now been updated, as of August 2018 (at the same link).
ReplyDeletethanks Professor Dave
ReplyDelete