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...

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 1979:Q1–2003:Q4 period by Dees, de Mauro, Pesaran, and...