Measuring Comovement by a Smooth Transition Simultaneous Equation Model
Mardi | 2018-09-26 Salle des thèses 16h – 17h20 Anjeza KADILLI – Jaya KRISHNAKUMAR This article develops a flexible econometric framework to investigate the comovement between two endogenous variables within a nonlinear simultaneous equation model. The model controls also for indirect dependence which intervenes through common observed and unobserved factors. The comovement is modeled as a smooth and potentially asymmetric function of the magnitude of the endogenous variable. The threshold at which a shock is transmitted is estimated with the […]