| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9380 |
| DP9380 Panel Vector Autoregressive Models: A Survey | |
| Fabio Canova; Matteo Ciccarelli | |
| 发表日期 | 2013-03-10 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal with dynamic models involving heterogeneous units. Finally, it shows how structural time variation can be dealt with and illustrates the challenges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian methods Dynamic models Panel vector autoregression |
| URL | https://cepr.org/publications/dp9380 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538216 |
| 推荐引用方式 GB/T 7714 | Fabio Canova,Matteo Ciccarelli. DP9380 Panel Vector Autoregressive Models: A Survey. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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