English, Article edition: ESTIMATING MULTICOUNTRY VAR MODELS Fabio Canova; Matteo Ciccarelli

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Bookmark: http://trove.nla.gov.au/version/25723
Physical Description
  • article
Language
  • English

Edition details

Title
  • ESTIMATING MULTICOUNTRY VAR MODELS
Author
  • Fabio Canova
  • Matteo Ciccarelli
Physical Description
  • article
Notes
  • This article presents a method to estimate the coefficients, to test specification hypotheses, and to conduct policy exercises in multicountry Vector Autoregressive (VAR) models with cross-unit interdependencies, unit-specific dynamics, and time variations in the coefficients. The framework of analysis is Bayesian: A prior flexibly reduces the dimensionality of the model and puts structure on the time variations, Markov chain Monte Carlo (MCMC) methods are used to obtain posterior distributions, and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of an MCMC routine. The transmission of certain shocks across countries is analyzed. Copyright © (2009) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
  • RePEc:ier:iecrev:v:50:y:2009:i:3:p:929-959
Language
  • English
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