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Spillovers in space and time: where spatial econometrics and Global VAR models meet
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| Authors and Corporations: | , , |
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| Title: | Spillovers in space and time: where spatial econometrics and Global VAR models meet/ J. Paul Elhorst, Marco Gross, Eugen Tereanu |
| Type of Resource: | E-Book |
| Language: | English |
| published: |
Frankfurt am Main, Germany
European Central Bank
[2018]
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| Series: |
Europäische Zentralbank: Working paper series ; no 2134 (February 2018)
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| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Abstract: | 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. |
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| Physical Description: | 1 Online-Ressource (circa 37 Seiten); Illustrationen |
| ISBN: |
9789289932394
9289932392 |
| DOI: | 10.2866/084378 |