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.

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Year of publication:	2009-02
Authors:	Mutl, Jan
Institutions:	Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
Subject:	Global VAR \| GVAR \| Consistent estimation \| Instrumental variables

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Extent:	application/pdf
Series:	Economics Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 234 24 pages
Classification:	C31 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005764171