Consistent estimation of global VAR models
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.
global VAR, Global VAR, GVAR, Consistent estimation, Instrumental variables, instrumental variables, VAR-Modell, ddc:330, consistent estimation, Modellierung, Zeitreihenanalyse, GVAR, C31, C32, C33, jel: jel:C31, jel: jel:C32, jel: jel:C33
global VAR, Global VAR, GVAR, Consistent estimation, Instrumental variables, instrumental variables, VAR-Modell, ddc:330, consistent estimation, Modellierung, Zeitreihenanalyse, GVAR, C31, C32, C33, jel: jel:C31, jel: jel:C32, jel: jel:C33
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!