Macroeconomic model reference

Panel VAR Model

Vector autoregression estimated across a panel of countries or regions to study common dynamics and shock propagation.

Empirical forecasting models · Sources

Panel VAR sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the Panel VAR page.

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Holtz-Eakin, Newey, Rosen (1988) --- GMM estimation of dynamic panel models with fixed effects and lagged dependent variables
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[S2] Reference
Pesaran, Smith (1995) --- demonstrated inconsistency of pooled estimators under slope heterogeneity, proposed mean-group estimator
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[S3] Reference
Love, Zicchino (2006) --- popularized fixed-effects panel VAR with Helmert transformation and impulse response analysis
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[S4] Reference
Canova, Ciccarelli (2004, 2009, 2013) --- Bayesian panel VAR with hierarchical priors for cross-unit shrinkage
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[S5] Reference
Pesaran, Schuermann, Weiner (2004) --- Global VAR linking country-specific models through trade-weighted foreign variables
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