EconPapers    
Economics at your fingertips  
 

Panel Index VAR Models: Specification, Estimation, Testing and Leading Indicators

Fabio Canova () and Matteo Ciccarelli

No 4033, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper proposes a method to conduct inference in panel VAR models with cross-unit interdependencies and time variations in the coefficients. The set-up used is Bayesian, and Markov chain Monte Carlo (MCMC) methods are used to estimate the posterior distribution of the features of interest. The model is re-parameterized to resemble an observable index model and specification searches are discussed. The approach can be used to construct multi-unit forecasts, leading indicators and to conduct policy analysis in multi-unit set-ups. The methodology is employed to construct leading indicators for inflation and GDP growth in the euro area.

Keywords: bayesian methods; leading indicators; markov chain monte carlo methods; panel var (search for similar items in EconPapers)
JEL-codes: C30 E50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=4033 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: PANEL INDEX VAR MODELS: SPECIFICATION, ESTIMATION, TESTING AND LEADING INDICATORS (2002) Downloads
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:4033

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=4033

Access Statistics for this paper

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

 
Page updated 2019-07-30
Handle: RePEc:cpr:ceprdp:4033