SUR approach for IV estimation of canonical contagion models

DOI10.1080/03610918.2013.864764MaRDI QIDQ2809614zbMATH OpenOpenAlexFDO

Authors Hyo-Jin Kim, Jinwook Seo, 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

seemingly unrelated regressioncontagioninstrumental variable estimator

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(1)

• SURF — STRUCTURAL UNDUPLICATED REACH AND FREQUENCY: LATENT CLASS TURF AND SHAPLEY VALUE ANALYSES

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