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CESifo Working Paper Details

Theory and Practice of GVAR Modeling

Alexander Chudik, M. Hashem Pesaran (Website)

CESifo Working Paper No. 4807 (May 2014)

Primary CESifo Category: [12] Empirical and Theoretical Methods

Abstract:
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling, examining both the theoretical foundations of the approach and its numerous empirical applications. We provide a synthesis of existing literature and highlight areas for future research.


Keywords: Global VAR, global macroeconometric modelling, global interdependencies, policy simulations

JEL Classification:
[C320] Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
[E170] General Aggregative Models: Forecasting and Simulation: Models and Applications

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