Summary of the discussion on Twitter down below. Please add your comments or include references :)
PAPERS:
- Filippo di Mauro and M. Hashem Pesaran textbook (OUP, 2013).
- Alexander Chudik and M. Hashem Pesaran (JOES, 2014) https://onlinelibrary.wiley.com/doi/full/10.1111/joes.12095
CODES and other material:
---> GVAR website by Vanessa Smith https://sites.google.com/site/gvarmodelling/gvar
---> GVAR website University of Cambridge http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/GVAR/GVAR.html
@KamiarMohaddes: "We are in the process of updating the GVAR dataset (our last update was in 2018 with data covering 1979Q2 to 2016Q4)"
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