Panel Index VAR Models: Specification, Estimation, Testing and Leading Indicators

Fabio Canova () and Matteo Ciccarelli

No 4033, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper proposes a method to conduct inference in panel VAR models with cross-unit interdependencies and time variations in the coefficients. The set-up used is Bayesian, and Markov chain Monte Carlo (MCMC) methods are used to estimate the posterior distribution of the features of interest. The model is re-parameterized to resemble an observable index model and specification searches are discussed. The approach can be used to construct multi-unit forecasts, leading indicators and to conduct policy analysis in multi-unit set-ups. The methodology is employed to construct leading indicators for inflation and GDP growth in the euro area.

Keywords: Panel var; Bayesian methods; Leading indicators; Markov chain monte carlo methods (search for similar items in EconPapers)
JEL-codes: C30 E50 (search for similar items in EconPapers)
Date: 2003-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Working Paper: PANEL INDEX VAR MODELS: SPECIFICATION, ESTIMATION, TESTING AND LEADING INDICATORS (2002)
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