Consistent Estimation of Global VAR Models
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Citations
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Cited by:
- Konstantakis, Konstantinos & Michaelides, Panayotis G., 2014. "Combining Input-Output (IO) analysis with Global Vector Autoregressive (GVAR) modeling: Evidence for the USA (1992-2006)," MPRA Paper 67111, University Library of Munich, Germany.
- J. Paul Elhorst & Marco Gross & Eugen Tereanu, 2021. "Cross‐Sectional Dependence And Spillovers In Space And Time: Where Spatial Econometrics And Global Var Models Meet," Journal of Economic Surveys, Wiley Blackwell, vol. 35(1), pages 192-226, February.
- Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Tsionas, Efthymios G. & Minou, Chrysanthi, 2015. "System estimation of GVAR with two dominants and network theory: Evidence for BRICs," Economic Modelling, Elsevier, vol. 51(C), pages 604-616.
- Winkelried, Diego & Saldarriaga, Miguel, 2012. "Trade linkages and growth in Latin America: A time-varying SVAR approach," Working Papers 2012-011, Banco Central de Reserva del Perú.
- Kyriakos Drivas & Claire Economidou & Konstantinos N. Konstantakis & Panayotis G. Michaelides, 2022. "Technological Leaders, Laggards and Spillovers: A Network GVAR Analysis," Open Economies Review, Springer, vol. 33(2), pages 231-269, April.
- Winkelried, Diego & Saldarriaga, Miguel, 2013. "Socios comerciales y crecimiento en América Latina: Un enfoque SVAR dinámico," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 25, pages 81-102.
- Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2014. "Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach," Journal of Economics and Business, Elsevier, vol. 76(C), pages 115-132.
- Diego Winkelried Quezada & Miguel Ángel Saldarriaga, 2012. "Latin American Growth Partners," Premio de Banca Central Rodrigo Gómez / Central Banking Award "Rodrigo Gómez", Centro de Estudios Monetarios Latinoamericanos, CEMLA, number prg2012eng, July-Dece.
- Diego Winkelried Quezada & Miguel Ángel Saldarriaga, 2012. "Socios comerciales y crecimiento en América Latina," Premio de Banca Central Rodrigo Gómez / Central Banking Award "Rodrigo Gómez", Centro de Estudios Monetarios Latinoamericanos, CEMLA, number prg2012, July-Dece.
- Michaelides, Panayotis G. & Konstantakis, Konstantinos N. & Milioti, Christina & Karlaftis, Matthew G., 2015. "Modelling spillover effects of public transportation means: An intra-modal GVAR approach for Athens," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 82(C), pages 1-18.
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More about this item
Keywords
Global VAR; GVAR; Consistent estimation; Instrumental variables;All these keywords.
JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2009-02-22 (Central Banking)
- NEP-ECM-2009-02-22 (Econometrics)
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