Theory and Practice of GVAR Modeling

56 Pages Posted: 12 May 2014

See all articles by Alexander Chudik

Alexander Chudik

Federal Reserve Banks - Federal Reserve Bank of Dallas

M. Hashem Pesaran

University of Southern California - Department of Economics; University of Cambridge - Trinity College (Cambridge)

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Date Written: May 8, 2014

Abstract

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.

Keywords: Global VAR, global macroeconometric modelling, global interdependencies, policy simulations

JEL Classification: C32, E17

Suggested Citation

Chudik, Alexander and Pesaran, M. Hashem, Theory and Practice of GVAR Modeling (May 8, 2014). University of Southern California, Center for Applied Financial Economics (CAFE) Research Paper Series No. 14.04, Available at SSRN: https://ssrn.com/abstract=2435990

Alexander Chudik

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

M. Hashem Pesaran (Contact Author)

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall 300
Los Angeles, CA 90089
United States

University of Cambridge - Trinity College (Cambridge) ( email )

United Kingdom

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