Theory and Practice of GVAR Modeling
Pesaran, M. H.
Cambridge Working Papers in Economics
Faculty of Economics
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Chudik, A., & Pesaran, M. H. (2014). Theory and Practice of GVAR Modeling. https://doi.org/10.17863/CAM.4956
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.
global interdependencies, policy simulations
This record's DOI: https://doi.org/10.17863/CAM.4956
This record's URL: https://www.repository.cam.ac.uk/handle/1810/255219
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