PANEL INDEX VAR MODELS: SPECIFICATION, ESTIMATION, TESTING AND LEADING INDICATORS

Fabio Canova and Matteo Ciccarelli

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: This paper integrates panel VARs and the index models into a unique framework where cross unit interdependencies and time variations in the coefficients are allowed for. The setup used is Bayesian and MCMC methods are used to estimate the posterior distribution of the features of interest and to verify hypothesis concerning the model specification. The approach reduces substantially the dimensionality of the problem, can be used to construct multiunit forecasts, leading indicators and to conduct policy analysis in a multiunit setups. The methodology is employed to construct leading indicators for inflation and GDP growth in the Euro area.

Keywords: Panel VAR; Bayesian methods; Leading indicators; Markov Chain Monte Carlo methods. (search for similar items in EconPapers)
JEL-codes: C3 C5 E5 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2002-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published by Ivie

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2002-21.pdf Fisrt version / Primera version, 2002 (application/pdf)

Related works:
Working Paper: Panel Index VAR Models: Specification, Estimation, Testing and Leading Indicators (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2002-21

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