Palgrave Handbook of Econometrics: Applied Econometrics

876 Macroeconometric Modeling for Policy

Table 17.1 The econometric model NAM

The exchange rate

vt=−0.042

(0.012)

{(

v+p∗−p

)

−0.12

[

(R−π)−

(

R∗−π∗

)]

−μv

}

t− 1

− 0.0361

(0.00693)

ITt×(R−R∗)t− 0.036

(0.015)

^2 pot− 1 (17.36)

OLS, T= 1994 ( 2 )− 2007 ( 2 )=56, σˆ=1.6%

FAR( 1 − 4 )(4, 44)=1.60[0.19] FARCH( 1 − 4 )(4, 40)=0.99[0.42]

χnormality^2 ( 2 )=0.07[0.97] Fx(6, 41)=0.59[0.80],

whereπt≡ 100 Pt^4 −P 4 tandπt∗≡ 100

 4 Pt∗

Pt∗− 4.

Import prices

pit=− 0.431

(0.0806)

[(

pi−v−pi∗

)

−0.55

(

p−v−p∗

)

−μpi

]

t− 1

+ 0.429

(0.0718)

vt+ 1.07

(0.211)

pi∗t (17.37)

OLS, T= 1990 ( 1 )− 2007 ( 1 )=69, σˆ=1.1%

FAR( 1 − 4 )(4, 59)=1.78[0.15] FARCH( 1 − 4 )(4, 55)=0.99[0.42]

χNormality^2 ( 2 )=0.81[0.67] FHet(9, 53)=1.15[0.34].

Prices, wages and productivity

pt=−0.052

(0.006)

[

pt− 3 −0.7(w−z)t− 1 −0.3pit− 1 −μp

]

− 0.06

(0.025)

zt

+ 0.29

(0.049)

pt− 2 + 0.024

(0.011)

pit+ 0.059

(0.0038)

pet+ 0.042

(0.014)

yt− 1 (17.38)

wt=−0.065

(0.019)

[(

wt− 1 −pt− 2 −zt− 1

)

+0.1ut− 4 −μw

]

+ 0.56

(0.071)

pt

+0.43pt− 1 − 0.039

(0.0053)

(

^2 ut− 1 +ut− 3

)

+ 0.73

(0.023)

T (^1) t (17.39)
zt=− 0.64
(0.062)
[
zt− 3 −0.47
(
w−p
)
t− 1 −0.0029Trendt−0.03ut−^2 −μz
]

• 0.24
  (0.05)
  
  (
  w−p
  )
  t−(0.0360.83)^2 zt−^1 (17.40)
  FIML, T= 1979 ( 3 )− 2007 ( 1 )=111, σˆP=0.3%, σˆW=0.6%,
  σˆZ=1.2% Fvec,AR( 1 − 5 )(45, 250)=1.07[0.36]
  Fvec,Het(354, 224)=1.11[0.20] χ^2 vec,Normality( 6 )=7.02[0.32].