[共享资料]GVAR的可用资料
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#1 [共享资料]GVAR的可用资料
简介：
GVAR的论文我就不提供了，自己上网找，我提供一下网上下载的工具包和某论文的实现资料。
资料如图：
下载地址：
来源：
sites.google.com/site/gvarmodelling/home
其他详细：
文章：
EXPLORING THE INTERNATIONAL LINKAGES OF THE EURO AREA: A GLOBAL VAR ANALYSIS
摘要：
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979–2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Using average pair-wise cross-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and international co-movements of business cycles. It develops a sieve bootstrap procedure for simulation of the GVAR as a whole, which is then used in testing the structural stability of the parameters, and for establishing bootstrap confidence bounds for the impulse responses. Finally, in addition to generalized impulse responses, the current paper considers the use of the GVAR for ‘structural’ impulse response analysis with focus on external shocks for the euro area economy, particularly in response to shocks to the US.
GVAR的论文我就不提供了，自己上网找，我提供一下网上下载的工具包和某论文的实现资料。
资料如图：
- gvar学习资料.png (12.49 KiB) 查看 1494 次
- gvar学习资料.png (12.49 KiB) 查看 1494 次
下载地址：
来源：
sites.google.com/site/gvarmodelling/home
其他详细：
文章：
EXPLORING THE INTERNATIONAL LINKAGES OF THE EURO AREA: A GLOBAL VAR ANALYSIS
摘要：
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979–2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Using average pair-wise cross-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and international co-movements of business cycles. It develops a sieve bootstrap procedure for simulation of the GVAR as a whole, which is then used in testing the structural stability of the parameters, and for establishing bootstrap confidence bounds for the impulse responses. Finally, in addition to generalized impulse responses, the current paper considers the use of the GVAR for ‘structural’ impulse response analysis with focus on external shocks for the euro area economy, particularly in response to shocks to the US.
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