U.S.-France Cooperative Research: Multinational EconometricPolicy Analysis

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This award will support joint research between US and French researchers on the topic of multinational econometric policy analysis. The US investigators are: Dr. Robert F. Engle, Dr. Clive W. Granger, and Dr. Halbert L. White, University of California at San Diego. The collaborators in France are: Dr. Michel Lubrano, Dr. Luc Bauwens and Dr. Russell Davidson, University of Aix-Marseille II and III. The objective of the project is to develop and apply statistical techniques to evaluate policy models. Potentially one of the most important activities by econometricians and applied economists is the production of models to be used by policy makers to help them determine an appropriate policy. However, these models have to pass not only standard specification tests and evaluation procedures, but they also have to show that they are relevant for policy purposes. Testing procedures for these models are very preliminary and are in need of both further theoretical and empirical development. In this project, the investigators will examine and apply econometric methods to study existing models. Theoretical developments will be coupled with empirical studies, which examine the co-movements of output and asset prices across countries. Both the US and French groups have extensive experience in both the theory and practice of econometrics, as well as in the development and application of tests and testing procedures. In particular, the French investigators bring to the project experience of testing procedures based on methods associated with the use of artificial regressions, as well as Bayesian specification testing.