ESTIMATING MULTICOUNTRY VAR MODELS
Fabio Canova () and
International Economic Review, 2009, vol. 50, issue 3, 929-959
This article presents a method to estimate the coefficients, to test specification hypotheses, and to conduct policy exercises in multicountry Vector Autoregressive (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, Markov chain Monte Carlo (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 an MCMC routine. The transmission of certain shocks across countries is analyzed. Copyright © (2009) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Working Paper: Estimating multi-country VAR models (2008)
Working Paper: Estimating Multi-country VAR models (2007)
Working Paper: Estimating multi-country VAR models (2006)
Working Paper: Estimating Multi-country VAR models (2006)
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