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
Authors:	Mutl, Jan
Publisher:	Vienna : Institute for Advanced Studies (IHS)
Subject:	VAR-Modell \| Zeitreihenanalyse \| Modellierung \| global VAR \| GVAR \| consistent estimation \| instrumental variables

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Series:	Reihe Ökonomie / Economics Series ; 234
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	743855175 [GVK] hdl:10419/72680 [Handle] RePEc:ihs:ihsesp:234 [RePEc]
Classification:	C31 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; C33 - Models with Panel Data
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010293999