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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Reihe Ökonomie / Economics Series ; No. 234
- Classification
-
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
- Subject
-
global VAR
GVAR
consistent estimation
instrumental variables
VAR-Modell
Zeitreihenanalyse
Modellierung
- Event
-
Geistige Schöpfung
- (who)
-
Mutl, Jan
- Event
-
Veröffentlichung
- (who)
-
Institute for Advanced Studies (IHS)
- (where)
-
Vienna
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mutl, Jan
- Institute for Advanced Studies (IHS)
Time of origin
- 2009
Other Objects (12)
Consistent Estimation of Panel Data Sample Selection Models
Consistent estimation of the fixed effects ordered logit model
Consistent estimation of a simple linear model under microaggregation
Consistent estimation of the fixed effects ordered logit model
Consistent Estimation of the Fixed Effects Ordered Logit Model
Consistent Estimation in Household Surveys
Consistent Estimation of Linear Panel Data Models with Measurement Error
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Strongly Consistent Density Estimation of Regression Residual
Consistent Estimation of Panel Data Sample Selection Models
Consistent estimation of the fixed effects ordered logit model
Consistent estimation of a simple linear model under microaggregation
Consistent estimation of the fixed effects ordered logit model
Consistent Estimation of the Fixed Effects Ordered Logit Model
Consistent Estimation in Household Surveys
Consistent Estimation of Linear Panel Data Models with Measurement Error
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Strongly Consistent Density Estimation of Regression Residual
Consistent Estimation of Panel Data Sample Selection Models
Consistent estimation of the fixed effects ordered logit model
Consistent estimation of a simple linear model under microaggregation
Consistent estimation of the fixed effects ordered logit model
Consistent Estimation of the Fixed Effects Ordered Logit Model
Consistent Estimation in Household Surveys
Consistent Estimation of Linear Panel Data Models with Measurement Error
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect