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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
Theory and practice of GVAR modeling
Alexander Chudik
M. Hashem Pesaran

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.

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Alexander Chudik & M. Hashem Pesaran, Theory and practice of GVAR modeling, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 180, 01 May 2014.
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Note: Published as: Chudik, Alexander & M. Hashem Pesaran (2016), "Theory and Practice of GVAR Modeling," Journal of Economic Surveys 30 (1): 165-197.
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DOI: 10.24149/gwp180
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