Some Comments on Statistical Aspects of Central Bank Model. ESRI Memorandum Series No. 142 1980

Geary, R.C. (1980) Some Comments on Statistical Aspects of Central Bank Model. ESRI Memorandum Series No. 142 1980. [Policy Paper]

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Abstract

There are 266 endos and equations in the model, many nonlinear, and 130 exos. Of the 266 equations 100* are behavioural and 166 identities. Period of estimation is the 18 years 1960-1977, time unit being the year. The behavioural system is dynamic, i.e., some equations containing on r.h.s. endos lagged one year. Method of solution is, for the most part, single equation ordinary least squares (SEOLS). 2SLS was resorted to for the wage-price sectors but it is stated that there was little difference between SEOLS and 2SLS in coefficient estimates of these equations. There is a description and commentary on each of the equations, giving the usual statistical test functions, R2, D.W., coefficient estimates with t-values, etc. for each of the behavioural equations. Much of the commentary in the report bears on the plausibility of the values and signs of the coefficients of the latter. There are many diagrams comparing graphs for actual and estimated (miscalled "predicted", as is usual). The numerical effect is shown of unit increases in certain policy instruments (mainly public authority taxes and expenditure), for six years starting with base year 0, for 36 most important endos.

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