Introductory Macro-econometrics: A New Approach
This short introduction to macro-econometrics focuses on the concepts, tools and techniques needed to model aggregate economic data, here unemployment, wages, prices and money in the UK over a long historical period of approximately 150 years, usually 1860–2011, but somewhat shorter for a few of the time series. The basic framework draws on Hendry and Nielsen (2007), Hendry and Nielsen (2010), and emphasizes the need for general models to account for the complexities of economies and the magnitudes of the many changes that have occurred.
That combination poses a major challenge for teaching elementary methods. Fortunately, despite the difficulties inherent in the distributional issues of estimators for non-stationary cointegrated time series with multiple location shifts and non- linear relationships, many of the key concepts can be explained using simple examples, then automated computer software can conduct the more complicated empirical modelling studies. The book is the outcome of a six-hour lecture course on Quantitative Economics delivered to second-year Philosophy, Politics, and Economics (PPE) undergraduates at Oxford University. A minimal background in elementary statistics is assumed, but developed quite rapidly while trying to minimize mathematical derivations.
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