Global and National Macroeconometric Modelling: A Long-Run Structural Approach

By Anthony Garratt, Kevin Lee, M. Pesaran, Yongcheol Shin. 2006

262 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a004fa010d1a03567862142f2b54711f3ecaeadb

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Citations in the corpus

Modelling and forecasting government bond spreads in the euro area: A GVAR model (2013, background): “In cases like this the Generalized Impulse Response Functions, GIRFs, discussed in Garratt et al.(2006) can appropriately take care of a non-diagonal structure in the variance-covariance matrix of innovations by exploiting the estimated er- ror covariances to model the contemporaneous linkages…”
Theory and Practice of GVAR Modeling (2016, unknown): “See Garratt et al. (2006) for a comprehensive review of long-run identification methods in macroeconometric literature. The first contribution on the identification of long-run relations in the GVAR literature is Dées, Holly, Pesaran, and Smith (2007) who used bootstrapping to compute critical value”
The output effect of fiscal consolidation plans (2015, methodology): “Impulse responses to correlated shocks can be computed using the Generalized Impulse Response Functions (GIRF) discussed in Garratt et al. (2012), where contemporaneous linkages across shocks are based on the estimated covariances of the error terms.”
Oil Exports and the Iranian Economy (2013, unknown): “3 in Garratt et al. (2006). The nature of the restrictions on a1 depends on the rank of x.”
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022, methodology): “The countries in our sample form two natural groups, one composed of Ireland, Italy, Portugal, Russia and Spain, all of which display high and volatile credit spreads, and the other composed of the remaining countries in (8)For a detailed discussion of the construction and properties of the financia”
Macroeconometric Modelling with a Global Perspective (2006, unknown): “The original work on a long run structural model for the UK economy was in Garratt, Lee, Pesaran and Shin (2003a) .”
An Empirical Growth Model for Major Oil Exporters (2012, unknown): “The more recent literature on resource abundance and economic growth focusses on the political economy considerations and argues that large windfalls from the resource create incentives for rent-seeking activities that involve corruption (Mauro (1995) and Leite and Weidmann (1999)), voracity (Lane a”
Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks (2018, unknown): “To this end, Figure 2 plots the distribution of bilateral spillover effects — the spillover density to adopt the terminology of Greenwood-Nimmo et al. (2016b) — for the models with and without factors. In the factor VAR case, each row of the adjacency matrix defined in (20) sums to unity by virtue o”