Model Uncertainty in Panel Vector Autoregressive Models

Koop, Gary and Korobilis, Dimitris (2014) Model Uncertainty in Panel Vector Autoregressive Models. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities across cross-sectional units. The resulting BMA framework can find a parsimonious PVAR specification, thus dealing with overparameterization concerns. We use these methods in an application involving the euro area sovereign debt crisis and show that our methods perform better than alternatives. Our findings contradict a simple view of the sovereign debt crisis which divides the euro zone into groups of core and peripheral countries and worries about financial contagion within the latter group.

ORCID iDs

Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X and Korobilis, Dimitris;
  • Item type:Monograph(Discussion paper)
    ID code:68220
    Dates:
    Date
    Event
    22 August 2014
    Published
    Notes:Published as a paper within the Discussion Papers in Economics, No. 14-08 (2014)
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:04 Jun 2019 08:55
    Last modified:20 Nov 2024 16:47
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/68220
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