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- 2019
Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity ProblemsDOI: https://doi.org/10.3390/econometrics7010008 Keywords: panel VAR, Bayesian inference, structural spillovers, hierarchical priors, MCMC implementations Abstract: 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
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