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Warsaw School of Economics Institute of Econometrics

Department of Applied Econometrics

Department of Applied Econometrics Working Papers

Warsaw School of Economics Al. Niepodleglosci 164 02-554 Warszawa, Poland

Working Paper No. 5-06

The experiment in macroeconometrics

John Aldrich

Division of Economics, University of Southampton

Anna Staszewska

Chair of Econometric Models and Forecasts, University of Lodz

This paper is available at the Warsaw School of Economics

Department of Applied Econometrics website at: http://www.sgh.waw.pl/instytuty/zes/wp/

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< = 4 + + & 2

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4

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R Z S Z

6 6 B 7

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R 80 * 09 R 80 0 09 *

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4 & : 6 3 4

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Q 5 P 3

3 6 6 6 & # + $ + $

< 6 6=

3 - 6 4 4

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4 6 8 B 9 6

4 & @ + K I +

6 & : 6 6

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6

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2 & 2

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(23)

K I + &6& 4 ( L 8*>J>9 + 4

8*>>>9+ 8*>J09;

6

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7 + <M 4 O= 2

6 < 6 = 4 ! + $ 6

I 4 8*>>J9 8/00)9&

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< 3 = # $ 8*>>1+ & .09

6 ; < 7 D D 4 5

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= 8 4 /9 4 6 & : B 6

< += 7 *>J1 & & 3 &

: 3 6 4 +

6 6 6 6 D 3 3 &

2 < = C B6 7 D

F E 6 6 F E

7 4 4 6 & + 6

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(24)

2 B 7 4 6

3 6 6 &

2 6 7 4 6

6 6 4 6 6 ] 4

4 & 2 6 E 4

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R ; 0 & ' & * ; 80 ( 9

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&

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# 5P 4 6 6 $ E 5 3 & 2

/-

(25)

3 6 $ E 3 4 4

+ &6& 4 6

O

# $ 8*>>1+ & .05*9 6 3 < 5 = < 5

B = 7 & ( + 3

5 7 & 6 3 % 6

8 4 -9; ( 3 + +

? 3 6 6 6

6 &

2 3 6 ( 6

O 2 4 3 & M 6 +

^ 6 ( + < 7 ?

4 6 O= 2 4 3 + 6 #

$ 8*>>19 < 6 = 3 & 3

3 &

& ' $ %! (

M 7

4 F E 3

/ 4 7 6

& 5 4 4 3 +

4 3 H & :

5 6 6 3 4 ; K I

/)

(26)

7 5 6 6 3 +

3 & : 7 4

3 6 & M 4 6

C 3

6 &

2 C % + 6 4 +

6 4 4 6 6 7

4 4 4 C & 2 % 6

3 4 3 7 4

6 B + & &+

3 4 3 & : H

K I H 3 + +

3 + 6+ 4 C & 2

# 5P 4 6 4 + +

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( 6

6& I 6 4

+ &6& 8*>>-9+ 6 3

6 &

: 3 8 4 9 4

+ 6 5 & 2 C 4 5

3 K I 3

4 & :

K I 6

/,

(27)

4 3

3 & 3

7 6 6 +

7 6 4

& @ + @ 8*>>J9 6 +

4 4 6 4 3 &

# $ 8*>>1+ & .09 H< 6

=H ;

2 7 4 7

& : 7 +

4 + & :

+ 4 &

2 3 5 B 4 +

& : # $ E % 4 &

M 8*>J/9 < 3

= 8 & *-),9 B < 6 6 6

E 4 &= 2 3

6 + +

M 6 6

& 2 4 6 % + 6

4 4 & A

4 3

4 &

/1

(28)

4 5

4 6 6 5 4 6 % &

6 5 6 + 35

/& : 6 4 6 4 #

$ 6 ; < 45

= < 4 &= 2 B

4 E

4 D

4 &

# $ 6 6 % 6

& : 6 3 +

8*>>.+ & /**9 6

+ + 4 5 6

3 + 4 3

& 2 I& & G $ +

6 8 9 +

4 8 9

4 &

# $ 8*>>1+ & ./ J-9 % 6 4

& 6 ! 8*>J09 < = < 3

4 6 7

4 4 &= 7 + < 6+

6 4 + 6

/.

(29)

&= # $

< = 4 < = & 2

7 K I 6 < =

4 < = 4

& 2 4

6&

2 6 # $ E 4% B 6 4

7 8 / 4 9& 2 8*>>1+ & .-9 ;

2

& : + 6

4 B 66 6 &

3 + 7 + < 4

+= 6

6 4 6 6

H 6 H 7 &

2 B 4

4 4 B 6

8 < 66 6 =9 6

& @ 6 4 &

2 3 < 4 =

6 6 K I & (

% 6 6 <6 = D 6

+ % B 6

6 ( &

/J

(30)

M 4 3 6 +

6 6 4 3 4 4 4

D &6&+ 4 6 7 7 4 6 6

3 4 6

4 B & 7 5

B 6 6 +

4 /,

5 3 &

) * %

6 # $ E 4 6 3 3 5

3 6+ 4

7 + K I 3 & 2 +

*>)0 *>J0 + & 6

# $ + 3 6

3 & 2 6

3 6& 2

4 K I D 4 5

3 & 2 3 6

6 + 7

K I &

M 6 3

& 2 ; <: 6 6 +

/>

(31)

B 4 5

= <2

&= 8# $ 8*>>1+ & .- J-99D 3

4 < 6 6= 8# + $ +

$ 8*>>1+ & */099& 2 4 6 7

6 & : 6

C 4 + 4 5 6 3 5

5 6 6 3 + 4 3

3 4 C 4 6 6

6&

2 4 4 8 -5,9 3

6 6 6 3 D

4 K I & 4 5

4 4 4 4 3 +

4 3 & : 1 3

4 4 6 & :

3 6 & 6 3

6 # $ 5

+ 3 %

6 3 4

&

-0

(32)

+ :& & !& 8*>,>9 2 $ # 5P 4 6 + + )+ ,>151/,&

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$ >-0J&

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++ -1)5-.1&

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+ I : + 4 &

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( A& & & L 8*>J>9+ 2 C 66 6

4 + & + ),+ 1,,51.-&

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(34)

+ ' + ) + **>5*).&

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(35)

! + I& & & 2& & 6 8 &9 8*>J*9 +

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+ $& !& + & & 8/0009 2 6 4 +

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+ $& & 8*>.19 2 A P I $ ; 6 5

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& # & (& I 8 &9+ 7 " + ;

G 5@ &

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& + + *0.5*,/&

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(36)

+ & & 8*>>-9 6 G 2 5 6 K 5

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M + & #& 8*>>*9 $ 4 + & + & 6 $& G 8 &9 +

( $ & . + ! ; + & ->15->.&

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