I am trying to build a macroeconomic time series forecasting model for some developing countries. In the end, I want to estimate capital flows for each country using a selection of macroeconomic variables. I built forecasts using VAR and Factor Augmented VAR approaches for each country that I want to study. However, I am asked to fit one single model on all of the countries in my data set (there are 10 of them), instead of fitting 10 different VAR models for each of them separately. Once I fit a comprehensive model, I will use it to forecast capital flows for each country separately.
All my countries have the same time span, and the same number of variables and observations. What are some of the approaches I can take in this case? I considered building a Panel VAR model, but I could not find useful resources online. Any recommendation about what model I can use is really appreciated.
