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Spillovers in space and time: where spatial econometrics and Global VAR models meet

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Personen und Körperschaften: Elhorst, J. Paul (VerfasserIn), Groß, Marco (VerfasserIn), Tereanu, Eugen (VerfasserIn)
Titel: Spillovers in space and time: where spatial econometrics and Global VAR models meet/ J. Paul Elhorst, Marco Gross, Eugen Tereanu
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2018]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2134 (February 2018)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight) matrices used by these models and its implications for estimation. Primarily motivated by the continuously expanding literature on spillovers, we define a broad and measurable concept of spillovers. We formalize it analytically through the indirect effects used in the spatial literature and impulse responses used in the GVAR literature. Finally, we propose a practical step-by-step approach for applied researchers who need to account for the existence and strength of cross-sectional dependence in the data. This approach aims to support the selection of the appropriate modeling and estimation method and of choices that represent empirical spillovers in a clear and interpretable form.
Umfang: 1 Online-Ressource (circa 37 Seiten); Illustrationen
ISBN: 9789289932394
9289932392
DOI: 10.2866/084378