Estimating Multi-country VAR models

Fabio Canova () and Matteo Ciccarelli
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Fabio Canova: http://www.econ.upf.edu/en/people/onefaculty.php?id=p1211

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: 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 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: 2002-06, Revised 2008-04
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Related works:
Working Paper: Estimating Multi-country VAR models (2006)
Working Paper: Estimating multi-country VAR models (2006)
Working Paper: Estimating Multi-country VAR models (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:upf:upfgen:920

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