Theory and practice of GVAR modeling

Alexander Chudik and Mohammad Pesaran

No 180, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling, examining both the theoretical foundations of the approach and its numerous empirical applications. We provide a synthesis of existing literature and highlight areas for future research.

JEL-codes: C32 E17 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2014-05-01
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Published as: Chudik, Alexander & M. Hashem Pesaran (2016), "Theory and Practice of GVAR Modeling," Journal of Economic Surveys 30 (1): 165-197.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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https://www.dallasfed.org/-/media/documents/resear ... papers/2014/0180.pdf Full text (application/pdf)

Related works:
Journal Article: THEORY AND PRACTICE OF GVAR MODELLING (2016)
Working Paper: Theory and Practice of GVAR Modeling (2014)
Working Paper: Theory and Practice of GVAR Modeling (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:180

DOI: 10.24149/gwp180

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