Estimating Multi-country VAR models

Matteo Ciccarelli and Fabio Canova

No 478, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian: a prior flexibly reduces the dimensionality of the model and puts structure on the time variations; MCMC methods are used to obtain posterior distributions; and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of MCMC routine. The transmission of certain shocks across G7 countries is analyzed

Keywords: Multi country VAR; Markov Chain Monte Carlo methods; Flexible priors; International transmission. (search for similar items in EconPapers)
JEL-codes: C3 C5 E5 (search for similar items in EconPapers)
Date: 2006-07-04
References: Add references at CitEc
Citations: View citations in EconPapers (22)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: ESTIMATING MULTICOUNTRY VAR MODELS (2009)
Working Paper: Estimating multi-country VAR models (2008)
Working Paper: Estimating Multi-country VAR models (2007)
Working Paper: Estimating multi-country VAR models (2006)
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:sce:scecfa:478

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().