Theory and practice of GVAR modeling

Alexander Chudik; M. Hashem Pesaran

The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling, examining both the theoretical foundations of the approach and its numerous empirical applications. We provide a synthesis of existing literature and highlight areas for future research.

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Year of publication:	2014
Authors:	Chudik, Alexander ; Pesaran, M. Hashem
Publisher:	München : CESifo
Subject:	Global VAR \| global macroeconometric modelling \| global interdependencies \| policy simulations \| Makroökonometrie \| Macroeconometrics \| Welt \| World \| VAR-Modell \| VAR model \| Simulation \| Globalisierung \| Globalization \| Makroökonomik \| Macroeconomics \| Theorie \| Theory

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Extent:	Online-Ressource ([1], 54 S.)
Series:	CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. 4807
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/102179 [Handle]
Classification:	C32 - Time-Series Models ; E17 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010354717