Title: Causality assessment in panel vector autoregressive models: A novel approach based on structural VARs
Authors: Helmut Herwartz - Georg-August-University Goettingen (Germany) [presenting]
Abstract: Structural shocks in dynamic systems are hidden and often identified with reference to a priori economic reasoning. Based on assumptions of heteroskedastic or non-Gaussian systems, recent advances in identifying structural vector autoregressive models point to the potential of data based identification schemes. In small samples data based identification might lack applicability of complicated algorithms, or might suffer from limited power of diagnostic testing. A panel approach is suggested to test specific causal structures for a cross section of economies that builds upon principles of Hodges Lehmann estimation.