Panel Vector Autoregressive Models: A Survey
By Fabio Canova, Matteo Ciccarelli. Social Science Research Network, 2013
545 citations recorded by the source corpus.
This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal with dynamic models involving heterogeneous units. Finally, it shows how structural time variation can be dealt with and illustrates the challenges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/55eff409bab4c0e38f82ae085a33a9caabfc18f3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- George Filis
- Ioannis Chatziantoniou
- Nikolaos Antonakakis
- Stavros Degiannakis *
- Ahsan Jamal Akbar
- A. Hussain
- Saroj Bhattarai
- Irfan Ullah
Citations in the corpus
- Domestic and multilateral effects of capital controls in emerging markets (2018, unknown): “Studies using country-specific VARs include Cardoso and Goldfajn (1998), De Gregorio et al.”
- Global spillover effects of US uncertainty (2017, background): “[13] Canova, Fabio, and Matteo Ciccarelli (2013), Panel Vector Autoregressive Models: A Survey, in VAR Models in Macroeconomics New Developments and Applications: Essays in Honor of Christopher A.”
- Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies (2015, unknown): “Given this assumption, a global liquidity shock and associated impulse responses of all the other variables in the system can then be derived 17The literature that extends this estimation approach to PVAR models is surveyed by Coakley, Fuertes, and Smith (2006) and Canova and Ciccarelli (2013).”
- The dynamic association between healthcare spending, CO2 emissions, and human development index in OECD countries: evidence from panel VAR model (2020, methodology): “It is a much powerful technique for analysis because panel VAR adds the structural-time disparity and cross-sectional dimensions in the standard VAR model (Canova and Ciccarelli 2013).”
- Energy consumption, CO2 emissions and economic growth: an ethical dilemma (2017, background): “…findings suggest that the effects of the various types of energy consumption on eco- 1For a recent survey on PVARs, readers are referred to study of Canova and Ciccarelli (2013). nomic growth and CO2 emissions are heterogeneous across the various groups of countries and sources of energy…”