The GVAR Toolbox

The GVAR Toolbox was originally launched in December 2010 with the release of version 1.0, sponsored by the European Central Bank. Version 1.1 was released in July 2011 and is available to download, free of charge, from this website.

Derived from Dr. L.Vanessa Smith's project Exploring International Economic Linkages Using a Global Model, the GVAR Toolbox 1.1 is the second release of a collection of MatLab procedures with an Excel-based interface, designed for the purpose of GVAR modelling. The GVAR modelling approach provides a general yet practical global modelling framework for the quantitative analysis of the relative importance of different shocks and channels of transmission mechanisms. This makes it a suitable tool for policy analysis, although it has been used in a number of other contexts, including analysing credit risk and evaluating the UK entry into the Euro. The GVAR Toolbox 1.1 is primarily tailored to policy analysis and forecasting.

The Toolbox is an accessible and easy to use package, with no background knowledge of MatLab or Excel required. In order to use it, both Microsoft Excel and MatLab have to be installed on the user's computer. No specific MatLab toolboxes are required for running the program.

The program itself can be used either with the existing GVAR structure based on Dees, di Mauro, Pesaran and Smith (2007) or variants of it, or as a very general modelling framework for any large system where components are driven by weighted averages of other components. It can be applied to countries, regions, states, firms, regional housing markets to name a few possibilities. Many or few countries (for example) can be used, so long as the required weak exogeneity assumptions are satisfied.

Download the GVAR Toolbox

All users should read the License and ensure they agree to the Terms and Conditions contained within it before using the software.

Download the GVAR Toolbox 1.1 (July 2011) (zip, 24.5 MB), which includes:

  • all necessary Matlab and Excel files
  • a comprehensive user guide
  • details of the underlying econometric methods

In this version of the GVAR Toolbox compared to the GVAR Toolbox 1.0:

  • The real GDP data series for China has been updated to reflect the latest revisions
  • The overidentifying restrictions function for imposing restrictions on the cointegrating vectors is enabled
  • The Matlab routines have been improved for faster printing of the output
  • A bug has been fixed for the case where no global variables are included in the GVAR

Please acknowledge any use of the GVAR Toolbox by citing it as:

Smith, L.V. and A. Galesi (2011) GVAR Toolbox 1.1

Although included in the GVAR Toolbox 1.1, the GVAR data (1979 Q1 - 2009 Q4) can also be downloaded separately, if required. An updated version of the dataset, GVAR data (1979 Q1 -2011 Q2), is also provided. Both versions of the data can be found below:

The GVAR Toolbox is based on the Gauss code GVAR for Gauss (Dec 2010) (zip, 926KB). This is an updated version of the original Gauss code, to replicate the results in Dees, di Mauro, Pesaran and Smith (2007).

General queries: Vanessa Smith.
Technical user support: GVAR Helpdesk.

This page was last updated on 30 April 2012.

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