“ Forecasting Economic and Financial Variables with Global VARs ” by M . Hashem
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چکیده
This paper reports the near term forecasting power of a large Global Vector Autoregressive (GVAR) model originally developed by Pesaran, Schuermann and Weiner, PSW, (2004) and subsequently fine-tuned and re-estimated over 1979Q1-1 The GVAR model explicitly specifies interdependencies between different countries and sub-regions in terms of three transparent channels: i) domestic variables are related to corresponding trade-weighted foreign variables to match the international trade pattern of the country under consideration; ii) non-zero pair wise correlations in residuals between countries and equations are allowed to capture a certain amount of dependence in idiosyncratic shocks, and iii) common observed shocks (viz, oil prices) that can affect all countries simultaneously are permitted. The key feature of the GVAR model as compared to factor structural VAR models is the direct introduction of observed country-specific foreign variables in the individual country models to deal with pervasive dependencies in the world economy in a more flexible manner. The authors first estimate the individual county-specific vector error correcting models, then these individual models are combined in an internally consistent manner to generate forecasts for all variables of all countries simultaneously. The 1-quarter and 4-quarter ahead forecasts for the eight quarters 2004Q1-2005Q4 are analyzed for 134 variables from 26 regions made up of 33
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Comment: “Forecasting economic and financial variables with global VARs” by Pesaran, Schuermann and Smith
This paper reports the short-term forecasting power of the large Global Vector Autoregressive (GVAR) model originally developed by Pesaran, Schuermann, and Weiner (2004a, 2004b; PSW), and subsequently fine-tuned and re-estimated over the period 1979Q1–2003Q4 by Dees, di Mauro, Pesaran, and Smith (2007; DdPS).1 The GVAR model explicitly specifies interdependencies between different countries and...
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تاریخ انتشار 2008