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Panel vector autoregressive models: a survey

Fabio Canova () and Matteo Ciccarelli

No 1507, Working Paper Series from European Central Bank

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 challanges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups. JEL Classification: C11, C30, C53

Keywords: estimation; identification; inference; panel VAR (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2013-01
Note: 224580
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20131507

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