Modeling Regional Interdependences Using a Global Error-Correcting Macroeconometric Model

Journal of Business and Economic Statistics

Volumn 22, Issue 2, 2004, Pages 129-162

  Pesaran, M Hashem ^a,b   Schuermann, Til ^c   Weiner, Scott M ^d  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^c FEDERAL RESERVE BANK OF NEW YORK   (United States)

^d Alliance Capital Management   (United States)

Author keywords

Credit loss distribution; Global interdependencies; Global macroeconometric modeling; Global vector error correcting model; Risk management

Indexed keywords

EID: 2142822769     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000019     Document Type: Review

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