Structural panel Bayesian VAR model to deal with model misspecification and unobserved heterogeneity problems

Artikel

This paper provides an overview of a time-varying Structural Panel Bayesian Vector Autoregression model that deals with model misspecification and unobserved heterogeneity problems in applied macroeconomic analyses when studying time-varying relationships and dynamic interdependencies among countries and variables. I discuss what its distinctive features are, what it is used for, and how it can be analytically derived. I also describe how it is estimated and how structural spillovers and shock identification are performed. The model is empirically applied to a set of developed European economies to illustrate the functioning and the ability of the model. The paper also discusses more recent studies that have used multivariate dynamic macro-panels to evaluate idiosyncratic business cycles, policy-making, and spillover effects among different sectors and countries.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-24 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: 13/A2 ; 13/A4 ; 13/A5 ; 13/D1 ; 13/D2 ; panel VAR ; Bayesian inference ; structural spillovers ; hierarchical priors ; MCMC implementations

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Pacifico, Antonio
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3390/econometrics7010008
• Handle: http://hdl.handle.net/10419/247508
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ