Panel vector autoregressive models: a survey

DOI10.1108/S0731-9053(2013)0000031006MaRDI QIDQ3295728zbMATH OpenOpenAlexFDO

Authors Fabio Canova, Matteo Ciccarelli

Publication date 10 July 2020

Published in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2013)0000031006

zbMATH Keywords

estimationidentificationinferencepanel VAR

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Causal inference from observational studies (62D20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(22)

• Prior selection for panel vector autoregressions
• Bias-corrected estimation of panel vector autoregressions
• Macro-panels and reality
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• Effects of US quantitative easing on emerging market economies
• Adaptive expectations and commodity risk premiums
• Regional patterns in technological progress of Poland: the role of EU structural funds
• Net foreign asset positions, capital flows and GDP spillovers
• Trade (dis)integration: the sudden death of NAFTA
• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
• Forecasting the unemployment rate over districts with the use of distinct methods
• Structural inference in sparse high-dimensional vector autoregressions
• Projection estimators for autoregressive panel data models
• Volatility modeling and prediction: the role of price impact
• Panel data measures of price discovery
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
• Matrix autoregressive models: generalization and Bayesian estimation
• Bayesian group-shrinkage based estimation for panel vector autoregressive models with mixed frequency data
• Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
• A survey on current models of panel econometrics and their causal interpretation
• A note on parameter estimation of panel vector autoregressive models with intercorrelation

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