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Panel VAR models with spatial dependence
Mutl, Jan - 2009
I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a … transformed data and applies standard techniques for estimation of panel vector-autoregressive models. I compare the small …-sample performance of various estimation strategies in a Monte Carlo study. -- spatial PVAR ; multivariate dynamic panel data model …
Persistent link: https://www.econbiz.de/10009734675
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Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both N and T are Large
Hahn, Jinyong; Kuersteiner, Guido M. - 2003
We consider a dynamic panel AR(1) model with fixed effects when both "n" and "T" are large. Under the "T fixed n large …
Persistent link: https://www.econbiz.de/10014130188
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A bias-corrected method of moments approach to estimation of dynamic Short-T panels
Chudik, Alexander; Pesaran, M. Hashem - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10011735967
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Consistent estimation of global VAR models
Mutl, Jan - 2009
In this paper, I propose an instrumental variable (IV) estimation procedure to estimate global VAR (GVAR) models and show that it leads to consistent and asymptotically normal estimates of the parameters. I also provide computationally simple conditions that guarantee that the GVAR model is...
Persistent link: https://www.econbiz.de/10009735344
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Large Bayesian VARs
Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008
This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting...
Persistent link: https://www.econbiz.de/10003825832
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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On the GCC currency union
Razzak, Weshah A. - 2009
estimate a small textbook model for the panel of the Gulf Cooperation Council countries (GCC) from 1970 to 2006, where the …
Persistent link: https://www.econbiz.de/10011523971
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Globalisation and Technological Convergence in the EU
Mastromarco, Camilla - 2012
We employ a two-step approach in investigating the dynamic transmission channels under which globalization factors foster technical efficiency by combining a dynamic efficiency analysis in the stochastic frontier framework, and a time series approach based on VAR and spectral analysis. Using the...
Persistent link: https://www.econbiz.de/10013103135
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Common Drifting Volatility in Large Bayesian VARs
Carriero, Andrea - 2014
The estimation of large vector autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...
Persistent link: https://www.econbiz.de/10013066409
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Bayesian VARs : Specification Choices and Forecast Accuracy
Carriero, Andrea - 2014
In this paper we examine how the forecasting performance of Bayesian VARs is affected by a number of specification choices. In the baseline case, we use a Normal-Inverted Wishart prior that, when combined with a (pseudo-) iterated approach, makes the analytical computation of multi-step...
Persistent link: https://www.econbiz.de/10013068104