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Panel Vector Autoregressive Models: A Survey

Fabio Canova () and Matteo Ciccarelli

No 9380, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal with dynamic models involving heterogeneous units. Finally, it shows how structural time variation can be dealt with and illustrates the challenges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.

Keywords: Bayesian methods; dynamic models; Panel vector autoregression (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2013-03
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