Panel vector autoregressive models: a survey
Fabio Canova () and
No 1507, Working Paper Series from European Central Bank
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (89) Track citations by RSS feed
Downloads: (external link)
Working Paper: Panel Vector Autoregressive Models: A Survey (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20131507
Access Statistics for this paper
More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().