Federal Reserve Bank of Dallas
Globalization Institute Working Papers
Theory and practice of GVAR modeling
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.
Cite this item
Alexander Chudik & M. Hashem Pesaran, Theory and practice of GVAR modeling, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 180, 01 May 2014.
Note: Published as: Chudik, Alexander & M. Hashem Pesaran (2016), "Theory and Practice of GVAR Modeling," Journal of Economic Surveys 30 (1): 165-197.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
This item with handle RePEc:fip:feddgw:180
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