Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model

Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model

This paper summarizes the World Bank's approach to identifying parameters for key equations in its macro structural model for countries where short sample sizes or major structural changes render traditional time-series approaches infeasible o...

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Main Authors: Burns, Andrew, Jooste, Charl
Format: Working Paper
Language:English
Published: World Bank, Washington, DC 2019
Subjects:
STRUCTURAL EQUATIONS
COINTEGRATED PANELS
MACROECONOMIC MODEL
Online Access:http://documents.worldbank.org/curated/en/662391562848917501/Estimating-and-Calibrating-MFMod-A-Panel-Data-Approach-to-Identifying-the-Parameters-of-Data-Poor-Countries-in-the-World-Banks-Structural-Macro-Model
http://hdl.handle.net/10986/32059
id okr-10986-32059
recordtype oai_dc
spelling okr-10986-320592022-09-20T00:13:52Z Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model Burns, Andrew Jooste, Charl STRUCTURAL EQUATIONS COINTEGRATED PANELS MACROECONOMIC MODEL This paper summarizes the World Bank's approach to identifying parameters for key equations in its macro structural model for countries where short sample sizes or major structural changes render traditional time-series approaches infeasible or yield unstable estimates. To identify parameters that could be used in such cases, a cointegrating panel approach is followed that yields a common long-run estimate of parameters for key equations (to test the theoretical restrictions imposed in the model) and short-run disequilibrium estimates that vary by country. This approach is preferred to pure calibration or Bayesian estimation, because the functional forms imposed in the panel are consistent with those used in the macro structural model. 2019-07-11T16:21:22Z 2019-07-11T16:21:22Z 2019-07 Working Paper http://documents.worldbank.org/curated/en/662391562848917501/Estimating-and-Calibrating-MFMod-A-Panel-Data-Approach-to-Identifying-the-Parameters-of-Data-Poor-Countries-in-the-World-Banks-Structural-Macro-Model http://hdl.handle.net/10986/32059 English Policy Research Working Paper;No. 8939 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
topic STRUCTURAL EQUATIONS
COINTEGRATED PANELS
MACROECONOMIC MODEL
spellingShingle STRUCTURAL EQUATIONS
COINTEGRATED PANELS
MACROECONOMIC MODEL
Burns, Andrew
Jooste, Charl
Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model
relation Policy Research Working Paper;No. 8939
description This paper summarizes the World Bank's approach to identifying parameters for key equations in its macro structural model for countries where short sample sizes or major structural changes render traditional time-series approaches infeasible or yield unstable estimates. To identify parameters that could be used in such cases, a cointegrating panel approach is followed that yields a common long-run estimate of parameters for key equations (to test the theoretical restrictions imposed in the model) and short-run disequilibrium estimates that vary by country. This approach is preferred to pure calibration or Bayesian estimation, because the functional forms imposed in the panel are consistent with those used in the macro structural model.
format Working Paper
author Burns, Andrew
Jooste, Charl
author_facet Burns, Andrew
Jooste, Charl
author_sort Burns, Andrew
title Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model
title_short Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model
title_full Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model
title_fullStr Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model
title_full_unstemmed Estimating and Calibrating MFMod : A Panel Data Approach to Identifying the Parameters of Data Poor Countries in the World Bank's Structural Macro Model
title_sort estimating and calibrating mfmod : a panel data approach to identifying the parameters of data poor countries in the world bank's structural macro model
publisher World Bank, Washington, DC
publishDate 2019
url http://documents.worldbank.org/curated/en/662391562848917501/Estimating-and-Calibrating-MFMod-A-Panel-Data-Approach-to-Identifying-the-Parameters-of-Data-Poor-Countries-in-the-World-Banks-Structural-Macro-Model
http://hdl.handle.net/10986/32059
_version_ 1764475702838558720

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