Model Uncertainty in Panel Vector Autoregressive Models

Model Uncertainty in Panel Vector Autoregressive Models

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, t...

Learning coherent Granger-causality in panel vector autoregressive models

We consider the problem of forecasting multiple time series across multiple cross-sections based solely on the past observations of the series. We propose to use panel vector autoregressive model to capture the inter-dependencies on the past values of the multiple series. We restrict the panel vector autoregressive model to exclude the cross-sectional relationships and propose a method to learn...

Vector Autoregressive Models

Estimating Structured Vector Autoregressive Models

While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating structured VAR (vector auto-regressive model), where the structure can be captured by any suitable norm, e.g., Lasso, group Lasso, order weighted Lasso, etc. I...

Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis

Abstract: The European sovereign-debt crisis began in Greece when the government announced in December, 2009, that its debt reached 121% of GDP (or 300 billion euros) and its 2009 budget deficit was 12.7% of GDP, four times the level allowed by the Maastricht Treaty. The Greek crisis soon spread to other Economic and Monetary Union (EMU) countries, notably Ireland, Portugal, Spain and Italy. Us...