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Estimating Multi-country VAR models

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  • Fabio Canova
  • Matteo Ciccarelli

Abstract

This paper presents a method to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country 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; 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 a MCMC routine. The transmission of certain shocks across countries is analyzed.

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Bibliographic Info

Paper provided by D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy in its series Discussion Papers with number 7_2007.

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Date of creation: 01 Apr 2007
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Handle: RePEc:prt:dpaper:7_2007

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Keywords: Multi-country VAR; Markov Chain Monte Carlo methods; Flexible priors; International transmission;

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References

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