Panel Vector Autoregressive Models: A Survey ^☆

The views expressed in this article are those of the authors and do not necessarily reflect those of the ECB or the Eurosystem.

Abstract

This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between heterogeneous assets, households, firms, sectors, and countries. We discuss what their distinctive features are, what they are used for, and how they can be derived from economic theory. We also describe how they are estimated and how shock identification is performed. We compare panel VAR models to other approaches used in the literature to estimate dynamic models involving heterogeneous units. Finally, we show how structural time variation can be dealt with.

Citation

Canova, F. and Ciccarelli, M. (2013), "Panel Vector Autoregressive Models: A Survey ^☆

The views expressed in this article are those of the authors and do not necessarily reflect those of the ECB or the Eurosystem.

", VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Advances in Econometrics, Vol. 32), Emerald Group Publishing Limited, Leeds, pp. 205-246. https://doi.org/10.1108/S0731-9053(2013)0000031006