SUR Approach for IV Estimation of Canonical Contagion Models

DOI10.1080/03610918.2013.864764zbMath1341.62223OpenAlexW2054718980MaRDI QIDQ2809614

Jinwook Seo, Hyo-Jin Kim, Dong Wan Shin

Publication date: 30 May 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.864764

zbMATH Keywords

contagioninstrumental variable estimatorseemingly unrelated regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Econometric issues in the analysis of contagion
• Sovereign risk contagion in the Eurozone

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