Estimating Multi-country VAR models

Fabio Canova and Matteo Ciccarelli

Discussion Papers from D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy

Abstract: This paper presents a method 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 a MCMC routine. The transmission of certain shocks across countries is analyzed.

Keywords: Multi-country VAR; Markov Chain Monte Carlo methods; Flexible priors; International transmission (search for similar items in EconPapers)
JEL-codes: C3 C5 E5 (search for similar items in EconPapers)
Date: 2007-04-01
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http://economia.uniparthenope.it/ise/sito/DP/DP_7_2007.pdf (application/pdf)

Related works:
Working Paper: Estimating Multi-country VAR models (2006)
Working Paper: Estimating Multi-country VAR models (2008)
Working Paper: Estimating multi-country VAR models (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:prt:dpaper:7_2007

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