Koop, G and Korobilis, D (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81. pp. 115-131. DOI https://doi.org/10.1016/j.euroecorev.2015.09.006
Koop, G and Korobilis, D (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81. pp. 115-131. DOI https://doi.org/10.1016/j.euroecorev.2015.09.006
Koop, G and Korobilis, D (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81. pp. 115-131. DOI https://doi.org/10.1016/j.euroecorev.2015.09.006
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.
Item Type: | Article |
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Uncontrolled Keywords: | Bayesian model averaging; Stochastic search variable selection; Financial contagion; Sovereign debt crisis |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 23 Nov 2016 11:49 |
Last Modified: | 16 May 2024 17:46 |
URI: | http://repository.essex.ac.uk/id/eprint/17946 |
Available files
Filename: EER-D-14-00521R2_manuscript.pdf