Introduction. 1. The Problem of Macroeconometrics; K. D. Hoover. Part I: Alternative Econometric Methodologies. 2. Recent Advances in Solving and Estimating Dynamic Macroeconomic Models; B. Fisher Ingram. Commentary; A. Pagan. 3. The Economics of VAR Models; F. Canova. Commentary; M. Ogaki. 4. Progressive Modelling of Macroeconomic Time Series: The LSE Methodology; G.E. Mizon. Commentary; C.H. Whiteman, J. Faust. 5. The Econometrics of the General Equilibrium Approach to Business Cycles; F.E. Kydland, E.C. Prescott. Commentary; G. Smith. Part II: The Lucas Critique Reconsidered. 6. Causal Orderings; S.F. LeRoy. Commentary; C.W.J. Granger. 7. On Policy Regimes; S.F. LeRoy. Commentary; W.T. Roberds. 8. The Lucas Critique in Practice: Theory without Measurement; N. Ericsson, J. Irons. Commentary; E. Leeper. 9. Rational Expectations and the Economic Consequences of Changes in Regime; J.D. Hamilton. Commentary; G.D. Rudebusch. 10. Historical Macroeconomics and Macroeconomic History; C.W. Calomiris, C. Hanes. Part III: Frontiers of Macroeconometrics. 11. Modelling Volatility Dynamics; F.X. Diebold, J.A. Lopez. Commentary; D.G. Steigerwald. 12. Dynamic Specification and Testing for Unit Roots and Co-Integration; A. Banerjee. Commentary; E. Zivot. 13. Nonlinear Models of Economic Fluctuations; S.M. Potter. Commentary; D.E. Sichel. Index.