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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
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author Elhorst, J. Paul, Groß, Marco, Tereanu, Eugen
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contents 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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spelling Elhorst, J. Paul VerfasserIn (DE-588)171025091 (DE-627)061184314 (DE-576)131852809 aut, Spillovers in space and time where spatial econometrics and Global VAR models meet J. Paul Elhorst, Marco Gross, Eugen Tereanu, Frankfurt am Main, Germany European Central Bank [2018], 1 Online-Ressource (circa 37 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2134 (February 2018), 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., Groß, Marco VerfasserIn (DE-588)1037080904 (DE-627)752163884 (DE-576)391076973 aut, Tereanu, Eugen VerfasserIn aut, Europäische Zentralbank Working paper series no 2134 (February 2018) 213400 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, http://hdl.handle.net/10419/179349 Resolving-System kostenfrei Volltext, https://doi.org/10.2866/084378 Resolving-System kostenfrei Volltext, http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2134.en.pdf?b33bf8d0dc4c5addae515ce126b98b7d Verlag kostenfrei Volltext, https://doi.org/10.2866/084378 LFER, LFER 2019-05-07T00:00:00Z
spellingShingle Elhorst, J. Paul, Groß, Marco, Tereanu, Eugen, Spillovers in space and time: where spatial econometrics and Global VAR models meet, Europäische Zentralbank, Working paper series, no 2134 (February 2018), 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.
title Spillovers in space and time: where spatial econometrics and Global VAR models meet
title_auth Spillovers in space and time where spatial econometrics and Global VAR models meet
title_full Spillovers in space and time where spatial econometrics and Global VAR models meet J. Paul Elhorst, Marco Gross, Eugen Tereanu
title_fullStr Spillovers in space and time where spatial econometrics and Global VAR models meet J. Paul Elhorst, Marco Gross, Eugen Tereanu
title_full_unstemmed Spillovers in space and time where spatial econometrics and Global VAR models meet J. Paul Elhorst, Marco Gross, Eugen Tereanu
title_in_hierarchy no 2134 (February 2018). Spillovers in space and time: where spatial econometrics and Global VAR models meet ([2018])
title_short Spillovers in space and time
title_sort spillovers in space and time where spatial econometrics and global var models meet
title_sub where spatial econometrics and Global VAR models meet
title_unstemmed Spillovers in space and time: where spatial econometrics and Global VAR models meet
url http://hdl.handle.net/10419/179349, https://doi.org/10.2866/084378, http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2134.en.pdf?b33bf8d0dc4c5addae515ce126b98b7d