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：2018
出版社：European Central Bank
摘要：We bring together the spatial and global vector autoregressive (GVAR) classes of econometric modelsby 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 usedby these models and its implications for estimation. Primarily motivated by the continuously expandingliterature on spillovers, we de ne a broad and measurable concept of spillovers. We formalize it analyti-cally through the indirect e ects used in the spatial literature and impulse responses used in the GVARliterature. Finally, we propose a practical step-by-step approach for applied researchers who need toaccount for the existence and strength of cross-sectional dependence in the data. This approach aims tosupport the selection of the appropriate modeling and estimation method and of choices that representempirical spillovers in a clear and interpretable form.
