SUR approach for IV estimation of canonical contagion models

DOI10.1080/03610918.2013.864764zbMATH Open1341.62223OpenAlexW2054718980MaRDI QIDQ2809614FDOQ2809614

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

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zbMATH Keywords

seemingly unrelated regressioncontagioninstrumental variable estimator

Mathematics Subject Classification ID

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

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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