Comparative Performance of U.S. Econometric Models

by Lawrence R. Klein (editor)

This volume compares strategic properties of the leading macroeconometric models of the United States. It summarizes the work of an ongoing seminar supported by the National Science Foundation and chaired by Lawrence R. Klein of the University of Pennsylvania. The Seminar meets three times annually. Comparisons are made across models for such characteristics as conventional multipliers (fiscal, monetary, and supply side shocks), J-curve response to dollar depreciation, and forecast performance under consistent assumptions. There are in-depth comparisons of some models and investigation of use of high frequency information to improve forecasts. There are also analyses of the sources of forecast error. The core structures of models, especially their ISLM cores, are compared. The volume contains one chapter on comparison across models of different developing countries. In addition to the contributions by participating model builders who meet regularly, the book contains critical
appraisals by outsiders. The contributors include many distinguished economists in model use and analysis. Many are operators of the countries best known modelling facilities. The introduction was written by Lawrence R. Klein, winner of the Nobel Prize in Economic Science in 1980, for his work in construction and use of econometric models.

336 pages, Hardcover

First published January 1, 1991

Reviews

[Richard Mancuso · Rating 5 out of 5]

Fascinating read for those interested in the diversity of macroeconometric models and comparisons.
Really interesting approaches to finding out what's "under the hood" in a diverse array of US econometric models. While the models studied are not of the most modern vintage/approaches, Klein's thorough examination of the properties of each model should serve as a template for studying the properties of a macroeconometric model.

What’s particularly interesting about this kind of comparison – and Klein’s approach is more detailed than other Canadian model comparisons I’ve read – is how different the reactions can be among models to standard fiscal or monetary shocks.