Statistical Issues in Macroeconomic Modelling

Abstract

The paper describes the influx of mathematical statistics in economics. It focuses on an approach to macroeconometric modelling which is based on fundamental statistical concepts like the joint distribution function of all observable variables for the whole sample period. The methodology relies on valid conditioning and marginalisation of this function in order to arrive at tractable subsystems, which can be analysed with statistical methods. Two case studies - the modelling of the household sector and the modelling of wages and prices in the Norges Bank RIMINI model - highlight this.