Improved GMM estimation of panel VAR models

DOI10.1016/J.CSDA.2015.05.004MaRDI QIDQ1659117zbMATH OpenOpenAlexFDO

Authors 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)

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• INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 2230055 (Why is no real title available?)
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• Subset selection for vector autoregressive processes using Lasso
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Cited in

(9)

• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Residual-based IV estimation of dynamic panel data models with fixed effects
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Comparison of local projection estimators for proxy vector autoregressions
• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• First difference transformation in panel VAR models: robustness, estimation, and inference
• Asymptotic distributions of impulse response functions in short panel vector autoregressions
• The generalized moment estimation of the additive-multiplicative hazard model with auxiliary survival information
• Panel vector autoregression under cross-sectional dependence

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