Panel Vector Autoregressive Models: A Survey

Fabio Canova and Matteo Ciccarelli

No 9380, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: 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 challenges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.

Keywords: Bayesian methods; Dynamic models; Panel vector autoregression (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2013-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (368)

Downloads: (external link)
https://cepr.org/publications/DP9380 (application/pdf)

Related works:
Working Paper: Panel vector autoregressive models: a survey (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:9380

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP9380

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().