- Tytuł:
- GVAR: A Case of Spurious Cross-Sectional Cointegration
- Autorzy:
- Kłębowski, Piotr
- Powiązania:
- https://bibliotekanauki.pl/articles/2075401.pdf
- Data publikacji:
- 2021
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
global VAR
GVAR
panel VAR
PVAR
spurious cross-sectional cointegration - Opis:
- Global Vector Autoregressive models came to be used quite widely in empirical studies using macroeconomic non-stationary panel data for the global economy. In this paper, it is shown that when the loading matrix of the cointegrating vectors is not block-diagonal and the cross-sectional spillovers of disequilibrium exist, the use of the GVAR model leads to spurious cross-sectional long-run relationships. Moreover, the results of Monte Carlo simulation show that the GVAR model is outperformed by other valid econometric approaches in terms of the maximum likelihood estimator of long-run coefficients, when the cointegrating vectors matrix is block-diagona
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2021, 2; 175-187
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł