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Autoren: 
Elhorst, Jean Paul
Tereanu, Eugen
Gross, Marco
Datum: 
2018
Reihe/Nr.: 
ECB Working Paper 2134
Zusammenfassung: 
We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight) matrices used by these models and its implications for estimation. Primarily motivated by the continuously expanding literature on spillovers, we define a broad and measurable concept of spillovers. We formalize it analytically through the indirect effects used in the spatial literature and impulse responses used in the GVAR literature. Finally, we propose a practical step-by-step approach for applied researchers who need to account for the existence and strength of cross-sectional dependence in the data. This approach aims to support the selection of the appropriate modeling and estimation method and of choices that represent empirical spillovers in a clear and interpretable form.
Schlagwörter: 
Weak and strong cross-sectional dependence
spatial models
GVARs
spillovers
JEL: 
C33
C38
C51
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3239-4
Dokumentart: 
Working Paper
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