Improved GMM estimation of panel VAR models

DOI10.1016/J.CSDA.2015.05.004zbMath1466.62089OpenAlexW3123773595MaRDI QIDQ1659117

Kazuhiko Hayakawa

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.05.004

zbMATH Keywords

Granger causalityGMMdynamic panel data modelsimpulse response analysisVAR model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

The generalized moment estimation of the additive-multiplicative hazard model with auxiliary survival information ⋮ Double filter instrumental variable estimation of panel data models with weakly exogenous variables

Cites Work

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