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Improved GMM estimation of panel VAR models
Computational Statistics & Data Analysis, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Trend in Markov Switching VAR Models
We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.openaire +2 more sources
Panel VAR models with spatial dependence [PDF]
, 2002 I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. I propose a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation.
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Consistent estimation of global VAR models [PDF]
, 2009 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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VAR Models as Structural Approximations [PDF]
, 1987 This paper presents a way of estimating how accurate VAR models are likely to be for answering structural questions. Data are generated from a dynamic deterministic solution of a structural model; a VAR model is estimated using a subset of these data; and the properties of the VAR model are compared to the properties of the structural model.
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