%0 Journal Article
%T Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems
%A Antonio Pacifico
%J -
%D 2019
%R https://doi.org/10.3390/econometrics7010008
%X Abstract This paper provides an overview of a time-varying Structural Panel Bayesian Vector Autoregression model that deals with model misspecification and unobserved heterogeneity problems in applied macroeconomic analyses when studying time-varying relationships and dynamic interdependencies among countries and variables. I discuss what its distinctive features are, what it is used for, and how it can be analytically derived. I also describe how it is estimated and how structural spillovers and shock identification are performed. The model is empirically applied to a set of developed European economies to illustrate the functioning and the ability of the model. The paper also discusses more recent studies that have used multivariate dynamic macro-panels to evaluate idiosyncratic business cycles, policy-making, and spillover effects among different sectors and countries. View Full-Tex
%K panel VAR
%K Bayesian inference
%K structural spillovers
%K hierarchical priors
%K MCMC implementations
%U https://www.mdpi.com/2225-1146/7/1/8