Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247508 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
This paper provides an overview of a time-varying Structural Panel Bayesian Vector Autoregression model that deals with model misspecification and unobserved heterogeneity problems in applied macroeconomic analyses when studying time-varying relationships and dynamic interdependencies among countries and variables. I discuss what its distinctive features are, what it is used for, and how it can be analytically derived. I also describe how it is estimated and how structural spillovers and shock identification are performed. The model is empirically applied to a set of developed European economies to illustrate the functioning and the ability of the model. The paper also discusses more recent studies that have used multivariate dynamic macro-panels to evaluate idiosyncratic business cycles, policy-making, and spillover effects among different sectors and countries.
Subjects: 
panel VAR
Bayesian inference
structural spillovers
hierarchical priors
MCMC implementations
JEL: 
13/A2
13/A4
13/A5
13/D1
13/D2
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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