The economic modeling development. An econometric aspect

Occupation: Leading Research Associate
Affiliation: Central Economics and Mathematics Institute, Russian Academy of Sciences
Address: Moscow, Russian Federation

Journal name

Ekonomika i matematicheskie metody

Edition

Volume 58 Issue 2

Pages

32-42

Abstract

The experience of development of applied predominantly macroeconomic modeling is considered. A comparison is made of the so-called non-structural approach, which is not strictly substantiated by economic theory, with the structural approach, where such a justification is the basis. It is shown that the achievements of structural and non-structural modeling have largely contributed to the blurring of the clear line between these two approaches. An analysis of researches also allows us to conclude that the rapid development of non-structural modeling led to the emergence of effective modeling methods that demonstrate good predictive properties, often surpassing the quality of structural models. In addition, it is shown that the difficulties arising at a certain stage in the development of the non-structural approach were often eliminated within the framework of the same approach, but with the advent of new methods. The presence of a close connection between the structural and non-structural approaches and the need for a hybrid approach to modeling real economic systems and processes, – that is, an approach in which some behavioral mechanisms and their corresponding structural parameters are explicitly introduced into the model, while the remaining elements are identified on the basis of methods of non-structural approach.

Keywords

structural models; non-structural models; Lucas’s critique; Phillips’s curve.

Received

02.06.2022

Publication date

18.06.2022

Number of characters

40175

Cite

GOST	Skrypnik D. The economic modeling development. An econometric aspect // Ekonomika i matematicheskie metody – 2022. – V. 58. – Issue 2 C. 32-42 [Electronic resource]. URL: https://emm.jes.su/S042473880020013-3-1 (circulation date: 28.04.2024). DOI: 10.31857/S042473880020013-3
MLA	Skrypnik, Dmitry "The economic modeling development. An econometric aspect." Ekonomika i matematicheskie metody 58.2 (2022):32-42. DOI: 10.31857/S042473880020013-3
APA	Skrypnik D. (2022). The economic modeling development. An econometric aspect. Ekonomika i matematicheskie metody 58(2), pp.32-42 DOI: 10.31857/S042473880020013-3

100 rub.

When subscribing to an article or issue, the user can download PDF, evaluate the publication or contact the author. Need to register.

Number of purchasers: 0, views: 496

Readers community rating: votes 0

1. Andreev M.Yu., Vrzheshch V.P., Pilnik N.P., Pospelov I.G., Khokhlov M.A., Zhukova A.A., Radionov S.A. (2013). The intertemporal equilibrium model of the Russian economy based on the macroeconomic balance disaggregation. Proceedings of the seminar named after I.G. Petrovsky, 29, 43–145 (in Russian).

2. Battiston S., Gatti D., Gallegati M., Greenwald B., Stiglitz J. (2012). Default cascades: When does risk diversification increase stability? Journal of Financial Stability, 8, 3, 138–149.

3. Box G.E.P., Jenkins G.M. (1970). Time series analysis: Forecasting and control. San Francisco: Holden-Div.

4. Eitrheim Ø., Jansen E. S., Nymoen R. (2005). The econometrics of macroeconomic modelling. Oxford: Oxford University Press.

5. Eitrheim Ø., Jansen E., Nymoen R. (2000) Progress from forecast failure — the Norwegian con-sumption function. The Econometrics Journal, 5, 1, 40–64.

6. Engle R.F., Granger C.W.J. (1987). Co-integration and error correction: Representation, estima-tion, and testing. Econometrica: Journal of the Econometric Society, 55, 2, 251–276.

7. Estrella A., Fuhrer J.C. (1999). Are “deep” parameters stable? The Lucas critique as an empiri-cal hypothesis. Boston: Federal Reserve Bank of Boston, 99.

8. Haavelmo T. (1944). The probability approach in econometrics. Econometrica: Journal of the Econometric Society, 12, Supplement (July, 1944), iii–vi+1–115.

9. Kydland F.E., Prescott E.C. (1982). Time to build and aggregate fluctuations. Econometrica: Journal of the Econometric Society, 50, 6, 1345–1370.

10. Lucas R.E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, 4, 2, 103–124.

11. Lucas R.E. (1976). Econometric policy evaluation: A critique. Carnegie-Rochester Conference Series on Public Policy, 1, 19–46.

12. Marcellino M., Salmon M. (2002). Robust decision theory and the Lucas critique. Macroeconomic Dynamics, 6, 01, 167–185.

13. Muth J.F. (1961). Rational expectations and the theory of price movements. Econometrica: Jour-nal of the Econometric Society, 29, 3, 315–335.

14. Petrov A.A., Pospelov I.G. (2009). Mathematical models of the Russian economy. Herald of the Russian Academy of Sciences, 79, 6, 492–506 (in Russian).

15. Philips A.W. (1958). The relation between unemployment and the Rate of change of money wage rates in the United Kingdom, 1861–1957. Economica. New Series, 25, 100, 284–295. DOI: 10.2307/2550759. Available at: https://www.jstor.org/stable/2550759

16. Sargan J.D. (1964).Wages and prices in the United Kingdom: A study in econometric methodolo-gy. Econometric Analysis for National Economic Planning, 16, 25–54.

17. Sargent T.J., Sims C.A. (1977). Business cycle modeling without pretending to have too much a priori economic theory. New Methods in Business Cycle Research, 1, 145–168.

18. Sims C.A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Socie-ty, 48, 1, 1–48.

19. Sims C.A. (1981). An autoregressive index model for the US 1948–1975. Large-Scale Macro–Econometric Models: Theory and Practice. North-Holland Pub. Co.

20. Skrypnik D.V. (2016). A macroeconomic model of the Russian economy. Economics and Mathe-matical Methods, 52, 3, 92–113 (in Russian).

21. Stock J.H. (1988). A reexamination of Friedman's consumption puzzle. Journal of Business & Economic Statistics, 6, 4, 401–407.

22. Tinbergen J. (1937). An econometric approach to business cycle problems. Paris: Hermann & Cie.