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Estimating Multi-country VAR models Author info | Abstract | Publisher info | Download info | Related research | Statistics Fabio Canova ()
Matteo Ciccarelli
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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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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 2002Date of revision:
Apr 2008Handle: RePEc:upf:upfgen:920Contact details of provider: Web page: http://www.econ.upf.edu/
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Keywords: Multi country VAR ; Markov Chain Monte Carlo methods ; Flexible priors ; International transmission ; Other versions of this item:
Paper Matteo Ciccarelli & Fabio Canova, 2006.
"Estimating Multi-country VAR models ,"
Computing in Economics and Finance 2006
478, Society for Computational Economics.
Fabio Canova & Matteo Ciccarelli, 2006.
"Estimating multi-country VAR models ,"
Working Paper Series
603, European Central Bank.
[Downloadable!] Fabio Canova & Matteo Ciccarelli, 2007.
"Estimating Multi-country VAR models ,"
Discussion Papers
7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
[Downloadable!] Find related papers by JEL classification: C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables C5 - Mathematical and Quantitative Methods - - Econometric Modeling E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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"Exploring the International Linkages of the Euro Area: a Global VAR Analysis ,"
Computing in Economics and Finance 2006
47, Society for Computational Economics.
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"Similarities and convergence in G-7 cycles ,"
Journal of Monetary Economics ,
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"Similarities and Convergence in G-7 Cycles ,"
Economics Working Papers
924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004.
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"Similarities and Convergence in G7 Cycles ,"
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4534, C.E.P.R. Discussion Papers.
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Eickmeier, Sandra, 2006.
"Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model ,"
Discussion Paper Series 1: Economic Studies
2006,31, Deutsche Bundesbank, Research Centre.
[Downloadable!]
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