PVAR model with collapsed instruments in the real exchange rates misalignment's analysis

DOI10.17535/CRORR.2022.0015MaRDI QIDQ5872974zbMATH OpenOpenAlexFDO

Authors Josip Arnerić, Antoni Šitum

Publication date 5 January 2023

Published in Croatian operational research review (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.17535/crorr.2022.0015

zbMATH Keywords

generalized method of momentsEuropean Unionpanel vector autoregressioncollapsed instrumentsreal exchange rate misalignment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites work

• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Biases in Dynamic Models with Fixed Effects
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Estimating Vector Autoregressions with Panel Data
• Large Sample Properties of Generalized Method of Moments Estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Describes a project that uses

Uses Software

• pVAR

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