Feldkircher, Martin; Huber, Florian; Pfarrhofer, Michael - In: Macroeconomic forecasting in the era of big data : …, (pp. 65-93). 2020
This chapter provides a thorough introduction to panel, global, and factor augmented vector autoregressive models. These models are typically used to capture interactions across units (i.e., countries) and variable types. Since including a large number of countries and/or variables increases the...
