Canova, Fabio; Ciccarelli, Matteo - Dipartimento di Studi Economici "Salvatore Vinci", … - 2007
This paper presents a method 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...