Modelling regional interdependencies using a global error-correcting macroeconometric model

By M. Pesaran, Til Schuermann, Scott M. Weiner. 2001

320 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/08e10619d10795b76d68da09069adae5b82ddc7c

Citations in the corpus

• Unit Roots and Cointegration in Panels (2005, unknown): “…manner it is possible to include dummy variables in the vector dit that accommodate structural breaks in the mean function (see, e.g., Murray and Papell, 2002; Tzavalis, 2002; Carrion-I-Sevestre, Del Barrio and Lopez-Bazo, 2004; Breitung and Candelon, 2005; Im, Lee and Tieslau, 2005).”
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006, unknown): “where ˜ Γ =( E (γi),E(Γi))= (γ,Γ). ( 25 ) Therefore, assuming that Rank(˜”
• Forecasting with Panel Data (2008, unknown): “In fact, Robertson and Symons (1992) and Pesaran and Smith (1995) questioned the poolability of the data across heterogeneous units.”
• Theory and Practice of GVAR Modeling (2016, unknown): “The Global VAR (GVAR) approach, originally proposed in Pesaran et al. (2004), provides a relatively simple yet effective way of modelling complex high-dimensional systems such as the global economy.”
• Oil Prices and the Global Economy: Is it Different this Time Around? (2016, unknown): “They then integrate the oil market within a compact quarterly model of the global economy comprising 27 countries (see Table 1), with the euro area being treated as a single economy, using a dynamic multi-country framework first advanced by Pesaran et al. (2004), known as the Global VAR (or GVAR for”
• Random Coefficient Models (2008, unknown): “A number of studies have also used measures such as trade or capital flows to capture economic distance, as in Lee and Pesaran (1993), Conley and Topa (2002) and Pesaran, Schuermann and Weiner (2004) .”
• What if the UK or Sweden had joined the Euro in 1999? An empirical evaluation using a global VAR (2007, unknown): “Therefore, conditional on the initial values, XT , and in the absence of entry xT+h |IT ∼ N(μh,Ωhh), (12)”