Estimating Multi-Country VAR Models
Copyright policy )Estimating Multi-Country VAR Models
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.
- Universitat Pompeu Fabra Spain
Konjunktur, VAR-Modell, Monte-Carlo-Simulation, Multi-country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission, international transmission, markov chain monte carlo methods, Multi country VAR, G7-Staaten, flexible priors, International transmission, multi country var, Macroeconomics and International Economics, C3, E5, Markov Chain Monte Carlo methods, C5, Flexible priors, Multi country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission, ddc:330, Markov-Kette, International, Schock, Flexible priors, International transmission, Markov Chain Monte Carlo methods, Multi country VAR, Theorie, jel: jel:C3, jel: jel:E5, jel: jel:C5
Konjunktur, VAR-Modell, Monte-Carlo-Simulation, Multi-country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission, international transmission, markov chain monte carlo methods, Multi country VAR, G7-Staaten, flexible priors, International transmission, multi country var, Macroeconomics and International Economics, C3, E5, Markov Chain Monte Carlo methods, C5, Flexible priors, Multi country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission, ddc:330, Markov-Kette, International, Schock, Flexible priors, International transmission, Markov Chain Monte Carlo methods, Multi country VAR, Theorie, jel: jel:C3, jel: jel:E5, jel: jel:C5
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).6 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!