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Estimating multi-country VAR models

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  • Fabio Canova

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  • Matteo Ciccarelli

Abstract

This paper describes a methodology 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 MCMC routine. The transmission of certain shocks across countries is analyzed.

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Bibliographic Info

Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 920.

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Date of creation: Jun 2002
Date of revision: Apr 2008
Handle: RePEc:upf:upfgen:920

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Web page: http://www.econ.upf.edu/

Related research

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

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