@ARTICLE{Kłębowski_Piotr_GVAR:_2021,
 author={Kłębowski, Piotr},
 number={No 2},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={175-187},
 howpublished={online},
 year={2021},
 publisher={Oddział PAN w Łodzi},
 abstract={Global Vector Autoregressive models came to be used quite widely in empirical studies using macroeconomic non-stationary panel data for the global economy. In this paper, it is shown that when the loading matrix of the cointegrating vectors is not block-diagonal and the cross-sectional spillovers of disequilibrium exist, the use of the GVAR model leads to spurious cross-sectional long-run relationships. Moreover, the results of Monte Carlo simulation show that the GVAR model is outperformed by other valid econometric approaches in terms of the maximum likelihood estimator of long-run coefficients, when the cointegrating vectors matrix is block-diagonal.},
 type={Article},
 title={GVAR: A Case of Spurious Cross-Sectional Cointegration},
 URL={http://journals.pan.pl/Content/119751/3_2_2021.pdf},
 doi={10.24425/cejeme.2021.137360},
 keywords={global VAR, GVAR, panel VAR, PVAR, spurious cross-sectional cointegration},
}