Consistent estimation of global VAR models

Jan Mutl

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. -- global VAR ; GVAR ; consistent estimation ; instrumental variables

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Year of publication:	2009
Authors:	Mutl, Jan
Publisher:	Wien : IHS
Subject:	VAR-Modell \| VAR model \| Zeitreihenanalyse \| Time series analysis \| Modellierung \| Scientific modelling \| Vektor-autoregressives Modell

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Extent:	Online-Ressource (24 S.)
Series:	IHS economics series : working paper. - Wien : IHS, ZDB-ID 2537878-8. - Vol. 234
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/72680 [Handle]
Classification:	C31 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; C33 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009735344