EU_w

<p>The data set <code>EU_w</code> is a vector of 14 elements.
  These are weights for \(N=14\) member countries of the Euro area, 
  constructed as the average share of their respective real GDP 
  over the sample period in Herwartz, Wang (2024).</p>

datasets

Implements (1) panel cointegration rank tests, (2) estimators for panel
vector autoregressive (VAR) models, and (3) identification methods for panel
structural vector autoregressive (SVAR) models as described in the accompanying vignette.
The implemented functions allow to account for cross-sectional dependence
and for structural breaks in the deterministic terms of the VAR processes.
Among the large set of functions, particularly noteworthy are those that implement
(1) the correlation-augmented inverse normal test on the cointegration rank
by Arsova and Oersal (2021, <doi:10.1016/j.ecosta.2020.05.002>),
(2) the two-step estimator for pooled cointegrating vectors
by Breitung (2005, <doi:10.1081/ETC-200067895>), and
(3) the pooled identification based on independent component analysis
by Herwartz and Wang (2024, <doi:10.1002/jae.3044>).

Lennart Empting

pvars

VAR Modeling for Heterogeneous Panels

EU_w function

<p>A numeric vector containing 14 named elements.</p>

EU_w: Weights for the Euro Monetary Policy Transmission

Description

Usage

Arguments

Format

References

See Also