Panel Vector Autoregressive Models: A Survey

53 Pages Posted: 12 Mar 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: March 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 challenges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.

Keywords: Bayesian methods, dynamic models, Panel vector autoregression

JEL Classification: C5, E3

Suggested Citation

Canova, Fabio and Ciccarelli, Matteo, Panel Vector Autoregressive Models: A Survey (March 2013). CEPR Discussion Paper No. DP9380, Available at SSRN: https://ssrn.com/abstract=2231871

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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