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...

This study employs the panel vector autoregressive (PVAR) model to examine spillover effect of US unconventional monetary policy on inflation and non-inflation targeting emerging markets post credit crunch during COVID-19 from 2000Q1 2020Q4. Unlike other analyses, this paper adds existing body knowledge by employing a dummy variable represent United States’ quantitative easing. Other included c...

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...

Este artigo tem por objetivo analisar, sob a perspectiva da Teoria do Crescimento Endógeno, relação positiva entre inovação e crescimento econômico. Para tanto, utilizou-se abordagem Panel Data Vector Autoregressive (PVAR) com o de estimar impacto algumas variáveis relacionadas sobre econômico dos países OCDE no período 1985 2017. Os resultados mostram que choques positivos nas grau abertura co...

This study explores the impact of non-performing loans (NPLs) on Zimbabwean banking industry’s stability and economic performance during dollarization era. The panel vector autoregressive (PVAR) model was applied using annual data from 2009 to 2017. findings indicated that short-run NPL shocks negatively risk-adjusted return, while capitalization is positive but dies off in long run. paper furt...

This paper presents evidence on the link between employment protection legislation (EPL), such as mandated severance packages for fired workers, and the rate of unemployment in a cross-country panel data set of OECD countries from 1990-2013. We use both a traditional fixed effects panel specification with lags of the policy variable, and also a unique structural panel vector autoregression (PVA...

Despite the high commitments of European Union (EU) member countries toward achieving sustainable development goals (SDGs), on average, region has reportedly under performed in area ensuring production and consumption. This paper uses Generalized Method Moments (GMM) estimation panel vector autoregressive (PVAR) with impulse response functions (IMFs) to assess effects domestic material consumpt...

According to traditional trade theories, foreign trade affects economic growth via several channels such as knowledge and technology spillover, improvement of resources allocation, increasing productivity and competitiveness. Within the framework of new trade theories, the effect of foreign trade on economic growth is ambiguous, and this effect depends on the combination of the different effect...

This study implemented Panel Vector Autoregression (PVAR) Model to examine short-run dynamic relationships between inflation rate, population and unemployment rate as function of Gross Domestic Product (GDP) for Economic Community West Africa States (ECOWAS) counties. To achieve this, secondary data was sourced Population, Inflation Unemployment GDP from National Bureau Statistics, Nigeria ECOW...