Arbeitspapier
Panel vector autoregressive models: a survey
This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal with dynamic models involving heterogeneous units. Finally, it shows how structural time variation can be dealt with and illustrates the challanges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1507
- Classification
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Forecasting Models; Simulation Methods
- Subject
-
estimation
Identification
inference
Panel VAR
Panel
VAR-Modell
Bayes-Statistik
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Canova, Fabio
Ciccarelli, Matteo
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Canova, Fabio
- Ciccarelli, Matteo
- European Central Bank (ECB)
Time of origin
- 2013
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