Chudik, A. and Pesaran, H.

Theory and Practice of GVAR Modeling

CWPE1408

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 Codes: C32 E17

Author links: M. Hashem Pesaran  

PDF: https://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1408.pdf

Open Access Link: https://doi.org/10.17863/CAM.4956

Published Version of Paper: Theory and Practice of GVAR Modeling, Pesaran, M. H. and Chudik, A., Journal of Economic Surveys (2016)

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