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M. Hashem Pesaran · Til Schuermann · Scott M Weiner·刊期 2004-04 · 卷 22(2)·Journal of Business & Economic Statistics已编入正刊
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被引 8 次 ↗OpenAlex · 核验
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利用全球误差修正宏观计量模型刻画地区间相互依赖
Financial institutions are ultimately exposed to macroeconomic fluctuations in the global economy. This article proposes and builds a compact global model capable of generating forecasts for a core set of macroeconomic factors (or variables) across a number of countries. The model explicitly allows for the interdependencies that exist between national and international factors. Individual region-specific vector error-correcting models are estimated in which the domestic…