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标题：Estimating GVAR weight matrices
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作者：Marco Gross
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：This paper aims to illustrate how weight matrices that are needed to construct foreign variable vectors in Global Vector Autoregressive (GVAR) models can be estimated jointly with the GVAR's parameters. An application to real GDP and consumption expenditure price in ation as well as a controlled Monte Carlo simu- lation serve to highlight that 1) In the application at hand, the estimated weights dier for some countries signicantly from trade-based ones that are traditionally employed in that context; 2) misspecied weights might bias the GVAR estimate and therefore distort its dynamics; 3) using estimated GVAR weights instead of trade-based ones (to the extent that they dier and the latter bias the global model estimates) shall enhance the out-of-sample forecast performance of the GVAR. De- vising a method for estimating GVAR weights is particularly useful for contexts in which it is not obvious how weights could otherwise be constructed from data.
关键词：Global macroeconometric modeling; models with panel data; forecast-;ing and simulation