Next Article in Journal
The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process
Previous Article in Journal
Parametric and Nonparametric Frequentist Model Selection and Model Averaging
Article

Structural Panel VARs

Department of Economics, Schapiro Hall, 124 Hopkins Hall Dr., Williams College, Williamstown, MA 01267, USA
Econometrics 2013, 1(2), 180-206; https://doi.org/10.3390/econometrics1020180
Received: 30 May 2013 / Revised: 6 August 2013 / Accepted: 20 August 2013 / Published: 24 September 2013
(This article belongs to the Special Issue Panel Time Series Methods)
The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the loading matrices for the decomposition into idiosyncratic versus common shocks is straightforward and transparent. The method appears to do remarkably well at uncovering the properties of the sample distribution of the underlying structural dynamics, even when the panels are relatively short, as illustrated in Monte Carlo simulations. Finally, these simulations also illustrate that the SVAR panel method can be used to improve inference, not only for properties of the sample distribution, but also for dynamics of individual members of the panel that lack adequate data for a conventional time series SVAR analysis. This is accomplished by using fitted cross sectional regressions of the sample of estimated panel responses to correlated static measures, and using these to interpolate the member-specific dynamics. View Full-Text
Keywords: panel time series; structural VAR; panel VARs panel time series; structural VAR; panel VARs
Show Figures

Figure 1

MDPI and ACS Style

Pedroni, P. Structural Panel VARs. Econometrics 2013, 1, 180-206. https://doi.org/10.3390/econometrics1020180

AMA Style

Pedroni P. Structural Panel VARs. Econometrics. 2013; 1(2):180-206. https://doi.org/10.3390/econometrics1020180

Chicago/Turabian Style

Pedroni, Peter. 2013. "Structural Panel VARs" Econometrics 1, no. 2: 180-206. https://doi.org/10.3390/econometrics1020180

Find Other Styles

Article Access Map by Country/Region

1
Only visits after 24 November 2015 are recorded.
Search more from Scilit
 
Search
Back to TopTop