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

DOI10.17535/CRORR.2022.0015OpenAlexW4312189635MaRDI QIDQ5872974FDOQ5872974

Authors: Josip Arnerić, Antoni Šitum 

Publication date: 5 January 2023

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

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

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

Uses Software

• pVAR

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