Comment: “Forecasting economic and financial variables with global VARs” by Pesaran, Schuermann and Smith
نویسنده
چکیده
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 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 pairwise 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
منابع مشابه
“ Forecasting Economic and Financial Variables with Global VARs ” by M . Hashem
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 re...
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