Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72680
Authors: 
Mutl, Jan
Year of Publication: 
2009
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 234
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.
Subjects: 
global VAR
GVAR
consistent estimation
instrumental variables
JEL: 
C31
C32
C33
Document Type: 
Working Paper

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