Econometric issues in the analysis of contagion

DOI10.1016/J.JEDC.2006.03.008zbMath1201.91064OpenAlexW3124930022MaRDI QIDQ1017035

M. Hashem Pesaran, Andreas Pick

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0402.pdf

zbMATH Keywords

identificationinterdependencecontagionfinancial crises

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

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Cites Work

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• Efficient Instrumental Variables Estimation of Nonlinear Models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
• Empirical modelling of contagion: a review of methodologies

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