Arbeitspapier
Consistent estimation of global VAR models
In this paper, I propose an instrumental variable (IV) estimation procedure to estimate global VAR (GVAR) models and show that it leads to consistent and asymptotically normal estimates of the parameters. I also provide computationally simple conditions that guarantee that the GVAR model is stable.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 234
Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Thema
global VAR
GVAR
consistent estimation
instrumental variables
VAR-Modell
Zeitreihenanalyse
Modellierung
GVAR
consistent estimation
instrumental variables
VAR-Modell
Zeitreihenanalyse
Modellierung
Ereignis
Geistige Schöpfung
(wer)
Mutl, Jan
Ereignis
Veröffentlichung
(wer)
Institute for Advanced Studies (IHS)
(wo)
Vienna
(wann)
2009
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:21 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Mutl, Jan
- Institute for Advanced Studies (IHS)
Entstanden
- 2009
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