Estimating multi-country VAR models

Arbeitspapier

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian: a prior flexibly reduces the dimensionality of the model and puts structure on the time variations; MCMC methods are used to obtain posterior distributions; and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of MCMC routine. The transmission of certain shocks across G7 countries is analyzed.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 603

Classification and Topics

• Classification: Wirtschaft
• Subject: Flexible priors ; International transmission ; Markov Chain Monte Carlo methods ; Multi country VAR ; VAR-Modell ; International ; Markov-Kette ; Monte-Carlo-Simulation ; Theorie ; Schock ; Konjunktur ; G7-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Canova, Fabio ; Ciccarelli, Matteo
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/153037
• Last update: 10.03.2025, 11:44 AM CET