Estimating multi-country VAR models

Fabio Canova and Matteo Ciccarelli

No 603, Working Paper Series from European Central Bank

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 G7 countries is analyzed. JEL Classification: C3, C5, E5

Keywords: Flexible priors; International transmission.; Markov Chain Monte Carlo methods; Multi country VAR (search for similar items in EconPapers)
Date: 2006-04
Note: 224580
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Journal Article: ESTIMATING MULTICOUNTRY VAR MODELS (2009)
Working Paper: Estimating Multi-country VAR models (2007)
Working Paper: Estimating Multi-country VAR models (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006603

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