The panel conditionally homogenous vectorautoregressive model
In the panel conditionally homogenous vectorautoregressive model, the cross-sectional units' dynamics are generally heterogenous, but homogenous if units share the same structural characteristics. The panel conditionally homogenous vectorautoregressive model thus allows (i) to account for heterogeneity in dynamic panel data sets, (ii) to nevertheless exploit the panel nature of the data, and (iii) to analyze the relationship between the units' observed heterogeneities and structural characteristics. I show how standard least squares estimation can be applied, how impulse responses can be computed, how multivariate conditioning is implemented, and how polynomial order restrictions can be incorporated. Finally, I present an easy-to-use Matlab routine which can be used to estimate the panel conditionally homogenous vectorautoregressive model and produce impulse responses as well as forecast error variance decompositions.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
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.:
- Fabio Canova & Matteo Ciccarelli, 2009.
"Estimating Multicountry Var Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, 08.
- 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.
- Fabio Canova & Matteo Ciccarelli, 2002. "Estimating multi-country VAR models," Economics Working Papers 920, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
- Canova, Fabio & Ciccarelli, Matteo, 2006. "Estimating multi-country VAR models," Working Paper Series 0603, European Central Bank.
- Matteo Ciccarelli & Fabio Canova, 2006. "Estimating Multi-country VAR models," Computing in Economics and Finance 2006 478, Society for Computational Economics.
- Norman V. Loayza & Claudio Raddatz, 2007.
"The Structural Determinants of External Vulnerability,"
World Bank Economic Review,
World Bank Group, vol. 21(3), pages 359-387, October.
- Loayza, Norman V. & Raddatz, Claudio, 2006. "The structural determinants of external vulnerability," Policy Research Working Paper Series 4089, The World Bank.
- Georgiadis, Georgios, 2014.
"Towards an explanation of cross-country asymmetries in monetary transmission,"
Journal of Macroeconomics,
Elsevier, vol. 39(PA), pages 66-84.
- Georgiadis, Georgios, 2012. "Towards an explanation of cross-country asymmetries in monetary transmission," Discussion Papers 07/2012, Deutsche Bundesbank, Research Centre.
- Ciccarelli, Matteo & Peydró, José-Luis & Maddaloni, Angela, 2010.
"Trusting the bankers: a new look at the credit channel of monetary policy,"
Working Paper Series
1228, European Central Bank.
- Matteo Ciccarelli & Angela Maddaloni & Jose Luis Peydro, 2015. "Trusting the Bankers: A New Look at the Credit Channel of Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 979-1002, October.
- Pesaran, M.H. & Smith, R., 1992.
"Estimating Long-Run Relationships From Dynamic Heterogeneous Panels,"
Cambridge Working Papers in Economics
9215, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Filipa Sá & Pascal Towbin & Tomasz Wieladek, 2011.
"Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation,"
Globalization and Monetary Policy Institute Working Paper
79, Federal Reserve Bank of Dallas.
- Sa, Filipa & Towbin, Pascal & wieladek, tomasz, 2011. "Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation," Bank of England working papers 411, Bank of England.
- Goodhart, Charles & Hofmann, Boris, 2008.
"House Prices, Money, Credit and the Macroeconomy,"
Working Paper Series
0888, European Central Bank.
- M. Hashem Pesaran, 2004.
"Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure,"
CESifo Working Paper Series
1331, CESifo Group Munich.
- M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, 07.
- Pascal Towbin & Sebastian Weber, 2011.
"Limits of Floating Exchange Rates; the Role of Foreign Currency Debt and Import Structure,"
IMF Working Papers
11/42, International Monetary Fund.
- Towbin, Pascal & Weber, Sebastian, 2013. "Limits of floating exchange rates: The role of foreign currency debt and import structure," Journal of Development Economics, Elsevier, vol. 101(C), pages 179-194.
- Abbritti, Mirko & Weber, Sebastian, 2010. "Labor market institutions and the business cycle Unemployment rigidities vs. real wage rigidities," Working Paper Series 1183, European Central Bank.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:37755. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.