Panel Vector Autoregressive Models: A Survey

55 Pages Posted: 12 Feb 2013

See all articles by Fabio Canova

Fabio Canova

BI Norwegian Business School

Matteo Ciccarelli

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: January 16, 2013

Abstract

This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal with dynamic models involving heterogeneous units. Finally, it shows how structural time variation can be dealt with and illustrates the challanges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.

Keywords: Panel VAR, estimation, identification, inference

JEL Classification: C11, C30, C53

Suggested Citation

Canova, Fabio and Ciccarelli, Matteo, Panel Vector Autoregressive Models: A Survey (January 16, 2013). ECB Working Paper No. 1507, Available at SSRN: https://ssrn.com/abstract=2201610

Fabio Canova (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Matteo Ciccarelli

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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