Consistent Estimation of Global VAR Models

Jan Mutl

No 234, Economics Series from Institute for Advanced Studies

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.

Keywords: Global VAR; GVAR; Consistent estimation; Instrumental variables (search for similar items in EconPapers)
JEL-codes: C31 C32 C33 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2009-02
New Economics Papers: this item is included in nep-cba and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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