Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem - CESifo - 2014
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undeter-mined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...
