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SUR Approach for IV Estimation of Canonical Contagion Models

Title
SUR Approach for IV Estimation of Canonical Contagion Models
Authors
Shin, Dong WanKim, Hyo JinSeo, Jinwook
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2016
Journal Title
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
ISSN
0361-0918JCR Link1532-4141JCR Link
Citation
vol. 45, no. 1, pp. 378 - 387
Keywords
ContagionInstrumental variable estimatorSeemingly unrelated regression
Publisher
TAYLOR & FRANCIS INC
Indexed
SCIE; SCOPUS WOS scopus
Abstract
Seemingly unrelated regression (SUR) method is applied to the instrumental variable (IV) estimation of the canonical contagion models. A finite sample Monte Carlo experiment shows that the resulting estimator, IV-SUR estimator, is substantially better than the existing IV estimator in terms of both bias and mean squares error under diverse circumstance of instrument, conditional heteroscedasticity, and cross-section correlation.
DOI
10.1080/03610918.2013.864764
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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