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)
New Economics Papers: this item is included in nep-cba and nep-ecm
Date: 2009-02
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Persistent link: http://EconPapers.repec.org/RePEc:ihs:ihsesp:234

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