Pesaran, M. H. and Chudik, A.

Theory and Practice of GVAR Modeling

Journal of Economic Surveys

Vol. 30(1) pp. 165-197 (2016)

Abstract: The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyse 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 modelling, 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 Codes: C32, E17

Author links: M. Hashem Pesaran

Publisher's Link: http://onlinelibrary.wiley.com/doi/10.1111/joes.12095/full