文章基本信息

标题：Panel vector autoregressive models: a survey
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作者：Fabio Canova ; Matteo Ciccarelli
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：This paper provides an overview of the panel VAR models used in macroeconomics and nance. 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 identication 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 challanges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups.
关键词：Panel VAR; Estimation; Identication; Inference.