This chapter is concerned with modeling the economic linkages among countries. Although there are by now a number of multicountry macroeconometric models in existence, it seems safe to say with respect to the treatment of capital Rows and exchange rates that econometric work has not kept pace with theoretical developments. Since Mundell’s pioneering theoretical work (1968) in the 1960s. the pot...

We propose a method for modifying a given density forecast in a way that incorporates the information contained in theory-based moment conditions. An example is "improving" the forecasts from atheoretical econometric models, such as factor models or Bayesian VARs, by ensuring that they satisfy theoretical restrictions given for example by Euler equations or Taylor rules. The method yields a new...

1Department of Economics, Vienna University of Economics and Business (WU), Vienna, Austria 2Wittgenstein Centre for Demography and Global Human Capital (WIC), Vienna, Austria 3World Population Program, International Institute for Applied Systems Analysis (IIASA), Laxenburg, Austria 4Austrian Institute of Economic Research (WIFO), Vienna, Austria 5Research Group Macroeconomics and Economic Poli...

We measure the information content of monthly analyst consensus forecasts for one-year-forward earnings per share (EPS) based on two well-established price discovery measures drawn from the area of market micro-structure research. Employing a 36-year sample of large American companies listed in the S&P 100 Index, we compute (i) Hasbrouck’s information shares and (ii) Gonzalo and Granger’s commo...

Long-term social security statistical forecasts produced and disseminated by the Brazilian government aim to provide accurate results that would serve as background information for optimal policy decisions. These forecasts are being used as support for the government's proposed pension reform that plans to radically change the Brazilian Constitution insofar as Social Security is concerned. Howe...

European framework for online integrated air quality and meteorology modeling (EuMetChem) focuses on a new generation of online integrated Atmospheric Chemical Transport (ACT) and Meteorology (Numerical Weather Prediction and Climate) modeling with two-way interactions between different atmospheric processes including chemistry (both gases and aerosols), clouds, radiation, boundary layer, emiss...

This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, e...