Dees, Stephane; Mauro, Filippo di; Pesaran, M. Hashem; … - Institute of Economic Policy Research (IEPR), … - 2004
This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...