EconPapers    
Economics at your fingertips  
 

Model Uncertainty in Panel Vector Autoregressive Models

Gary Koop () and Dimitris Korobilis

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities across cross-sectional units. The resulting BMA framework can find a parsimonious PVAR specification, thus dealing with overparameterization concerns. We use these methods in an application involving the euro area sovereign debt crisis and show that our methods perform better than alternatives. Our findings contradict a simple view of the sovereign debt crisis which divides the euro zone into groups of core and peripheral countries and worries about financial contagion within the latter group.

New Economics Papers: this item is included in nep-ets
Date: 2014-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://www.rcea.org/RePEc/pdf/wp39_14.pdf (application/pdf)

Related works:
Journal Article: Model uncertainty in Panel Vector Autoregressive models (2016) Downloads
Working Paper: Model Uncertainty in Panel Vector Autoregressive Models (2015) Downloads
Working Paper: Model Uncertainty in Panel Vector Autoregressive Models (2014) Downloads
Working Paper: Model uncertainty in panel vector autoregressive models (2014) Downloads
Working Paper: Model Uncertainty in Panel Vector Autoregressive Models (2014) Downloads
Working Paper: Model uncertainty in panel vector autoregressive models (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:39_14

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().

 
Page updated 2019-11-13
Handle: RePEc:rim:rimwps:39_14