SUR Approach for IV Estimation of Canonical Contagion Models |
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| Authors: | Dong Wan Shin Hyo Jin Kim Jinwook Seo |
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| Institution: | 1. Department of StatisticsEwha University, Seoul, Republic of Korea;2. Department of Computer Science and EngineeringSeoul National University, Seoul, Republic of Korea |
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| 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. |
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| Keywords: | Contagion Instrumental variable estimator Seemingly unrelated regression |
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