Dates
Wednesday, 2 July 2008, 9am – 6pm.
Course venue
Berlin, Germany. The course will be provided at the Tagungsstätte Harnack-House where the conference EcoMod2008 will take place.
Overview
The GVAR model is a compact model of the world economy designed to explicitly model the economic and financial interdependencies at national and international levels. Individual country/region specific vector error-correcting models are estimated, where the domestic variables are related to corresponding foreign variables constructed exclusively to match the international trade pattern of the country under consideration. The individual country models are then linked in a consistent manner so that the GVAR model is solved for the world as a whole. The model covers 33 countries that account for about 90% of world output with the euro area considered as a single economy (eight economies are grouped into one). In total there are 26 country/region specific models that are linked within a unified GVAR framework. The degree of regional interdependence is investigated via generalised impulse response functions that portray the effects of shocks to a given variable in a given country/market on the rest of the world.
The GVAR model can also be used for forecasting purposes. In particular, it will be demonstrated how the model can be used to generate out-of-sample one quarter and four quarters ahead forecasts of real output, inflation, real equity prices, exchange rates and interest rates over the period 2004Q1-2005Q4 for all 134 variables. The forecasts will be compared to typical benchmarks: univariate autoregressive and random walk models. The effects of model and estimation uncertainty on forecast outcomes will be examined by pooling forecasts obtained from different GVAR models estimated over alternative sample periods.
Schedule
09:00 – 10:30 Introduction to the GVAR modeling framework
10:30 – 11:00 Break
11:00 – 12:30 Individual country modeling; constructing the GVAR model from the country-specific models
12:30 – 14:00 Lunch
14:00 – 15:30 Impulse response analysis
15:30 – 16:00 Break
16:30 – 18:00 Forecasting
Prerequisites
Some knowledge of Gauss would be desirable, but not essential
Instructors
The training will be delivered by Dr. Vanessa Smith and Prof. Hashem Pesaran, University of Cambridge.
Dr L. Vanessa Smith is a Research Fellow at the Centre for Financial Analysis and Policy (CFAP), University of Cambridge. She holds a first class degree in Mathematics from the University of Patras (Greece), an MSc in Finance and Investment from the University of York (UK), and a PhD in Econometrics from the University of Nottingham (UK). Her research focuses on global macroeconometric modelling and the econometric analysis of heterogeneous dynamic panels.
References
Dees, S., F. di Mauro, Pesaran, M.H. and L.V. Smith (2007). Exploring the International Linkages of the euro area: A Global VAR Analysis. Journal of Applied Econometrics 22, 1-38.
Garratt, A., Lee, K., M.H. Pesaran and Y. Shin (2006). Global and National
Macroeconometric Modelling: A long-run structural approach, Oxford University Press, Oxford.
Pesaran, M.H., T. Shuermann, and L.V Smith (2008). Forecasting Economic and Financial Variables with Global VARs, mimeo, University of Cambridge.
Pesaran, M.H., T. Shuermann, and S.M. Weiner (2004). Modelling Regional
Interdependencies Using a Global Error-Correcting Macroeconometric
Model. Journal of Business and Economic Statistics 22, 129-162.
Registration fees
The registration fee for the course is 495 euros. This includes course materials, lectures, lunch, morning and afternoon coffee breaks. You can pay by check, credit card (Visa, American Express, Diners Club, or MasterCard) or bank transfer.
Please complete and fax the registration form.
