SUR Approach for IV Estimation of Canonical Contagion Models

Dong Wan Shin, Hyo Jin Kim, Jinwook Seo

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

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.

Original languageEnglish
Pages (from-to)378-387
Number of pages10
JournalCommunications in Statistics: Simulation and Computation
Volume45
Issue number1
DOIs
StatePublished - 2 Jan 2016

Keywords

  • Contagion
  • Instrumental variable estimator
  • Seemingly unrelated regression

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