Paper #920

Títol:

Estimating multi-country VAR models

Autors:

Fabio Canova i Matteo Ciccarelli

Data:

Juny 2002

Resum:

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian: a prior flexibly reduces the dimensionality of the model and puts structure on the time variations; MCMC methods are used to obtain posterior distributions; and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of MCMC routine. The transmission of certain shocks across countries is analyzed.

Paraules clau:

Multi country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission

Codis JEL:

C3, C5, E5

Àrea de Recerca:

Macroeconomia i Economia Internacional

Publicat a:

International Economic Review, 50(3), 2009, 929-961

Descarregar el paper en format PDF