Consistent Estimation of Global VAR Models

Mutl, Jan (February 2009) Consistent Estimation of Global VAR Models. IHS Economics Series 234

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Abstract or Table of Contents

Abstract: 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.;

Item Type: IHS Series
Keywords: 'Global VAR' 'GVAR' 'Consistent estimation' 'Instrumental variables'
Classification Codes (e.g. JEL): C31, C32, C33
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 22 Jul 2017 07:18
URI: http://irihs.ihs.ac.at/id/eprint/1900

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