Consistent Estimation of Global VAR Models
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 i...| Link(s) zu Dokument(en): | IHS Publikation |
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| Format: | IHS Series NonPeerReviewed |
| Sprache: | Englisch |
| Veröffentlicht: |
Institut für Höhere Studien
2009
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| Zusammenfassung: | 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.; |
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