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Theory and practice of GVAR modeling

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  • Alexander Chudik
  • M. Hashem Pesaran

Abstract

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.

Suggested Citation

  • Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and practice of GVAR modeling," Globalization Institute Working Papers 180, Federal Reserve Bank of Dallas.
    • Handle: RePEc:fip:feddgw:180
    DOI: 10.24149/gwp180
    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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    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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