This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models with heterogeneous spatial lag coefficients, with and without (weakly) exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation...