Pesaran, M.H.; Schuermann, T.; Smit, L.V. - Faculty of Economics, University of Cambridge - 2008
This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end a global vector autoregressive (GVAR) model previously estimated over the 1979Q1-2003Q4 period by Dees, de Mauro, Pesaran, and Smith...