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: https://orcid.org/0000-0002-6091-378X and Korobilis, Dimitris;-
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Item type: Monograph(Discussion paper) ID code: 68220 Dates: DateEventAugust 2014PublishedNotes: 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: 30 Sep 2024 00:10 URI: https://strathprints.strath.ac.uk/id/eprint/68220