Macroeconometrics

How can economists make sense of complex and noisy macroeconomic data and turn it into credible evidence for research, forecasting, and policy?

Macroeconometrics provides a rigorous yet accessible guide to the tools used to analyse dynamic economic systems in a rapidly evolving empirical environment.

The book takes readers from the foundations of univariate time series analysis to the multivariate and structural methods that define modern macroeconometrics. It covers core topics such as stationarity, unit roots, cointegration, ARIMA and GARCH models, VARs, local projections, shock identification, Bayesian methods, and DSGE models, while also introducing recent advances in high-dimensional data, machine learning, nonlinearities, mixed-frequency analysis, quantile methods, Growth-at-Risk, and multi-country policy modelling. Structured as a progressive learning journey, it combines theoretical explanation with practical guidance, empirical applications, summary sections, key equations, exercises, and companion code.

Merging analytical rigor with real-world relevance, Macroeconometrics is an essential resource for advanced students, PhD researchers, and policy economists seeking a clear, modern, and comprehensive guide to macroeconomic data analysis.

Author: Alessia Paccagnini
Publisher: de Gruyter
Published: 09/21/2026
Pages: 902
Binding Type: Paperback
Weight: 3.10lbs
Size: 9.61h x 6.69w x 1.78d
ISBN13: 9783111572772
ISBN10: 3111572773
BISAC Categories:
- Business & Economics | Econometrics

About the Author
Alessia Paccagnini is Associate Professor at University College Dublin, where she serves as Academic Director of the MSc in Quantitative Finance, and Research Associate at CAMA. Her teaching and research focus on macroeconometrics, forecasting, monetary economics, and applied time series analysis. She has taught at several international institutions, including Bocconi University, Bicocca University, IMT Lucca, Universitat Autònoma de Barcelona, and the Central Bank of Ireland, and has held visiting positions at the European Central Bank, the Bank of England, Narodowy Bank Polski, Universitat Pompeu Fabra, and the University of Pennsylvania. She obtained her PhD from Bocconi University and was a Max Weber Fellow at the European University Institute. Her research has been published in leading international journals in econometrics and economics.