Working Paper

Theory and practice of GVAR modeling

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.

JEL Classification: C32; E17;

https://doi.org/10.24149/gwp180

Bibliographic Information

Provider: Federal Reserve Bank of Dallas

Part of Series: Globalization Institute Working Papers

Publication Date: 2014-05-01

Number: 180

Note: Published as: Chudik, Alexander & M. Hashem Pesaran (2016), "Theory and Practice of GVAR Modeling," Journal of Economic Surveys 30 (1): 165-197.