TY  - GEN
AB  - This paper proposes a generalization of the nonlinear simultaneous equation model of Pesaran and Pick (2007) by modelling the comovement between the two endogenous variables as a smooth function of the magnitude of the endogenous variable rather than a step function. The threshold and the speed at which a shock is transmitted are estimated with the other parameters of the model. We investigate the properties of an accurate estimation
method which takes into account endogeneity, and a testing procedure for simultaneity in the presence of nuisance parameters under the null hypothesis. We study the conditions on the parameters that ensure the uniqueness of the implicit reduced form of the model. We apply this methodology to the comovement between the sovereign and banking sectors of nine developed countries.
AD  - Haute école de gestion de Genève, HES-SO Haute Ecole Spécialisée de Suisse Occidentale
AD  - Geneva School of Economics and Management, University of Geneva, Switzerland
AU  - Kadilli, Anjeza
AU  - Krishnakumar, Jaya
DA  - 2022-10
DO  - 10.1016/j.jedc.2022.104546
DO  - DOI
ID  - 11554
JF  - Journal of economic dynamics and control
KW  - Economie/gestion
KW  - implicit reduced form
KW  - market comovement
KW  - NL2SLS estimation method
KW  - nuisance parameters
KW  - simulations
KW  - simultaneity testing
L1  - https://arodes.hes-so.ch/record/11554/files/Kadili_2022_Smooth_transition_simultaneous_equation_models.pdf
L2  - https://arodes.hes-so.ch/record/11554/files/Kadili_2022_Smooth_transition_simultaneous_equation_models.pdf
L4  - https://arodes.hes-so.ch/record/11554/files/Kadili_2022_Smooth_transition_simultaneous_equation_models.pdf
LA  - eng
LK  - https://arodes.hes-so.ch/record/11554/files/Kadili_2022_Smooth_transition_simultaneous_equation_models.pdf
N2  - This paper proposes a generalization of the nonlinear simultaneous equation model of Pesaran and Pick (2007) by modelling the comovement between the two endogenous variables as a smooth function of the magnitude of the endogenous variable rather than a step function. The threshold and the speed at which a shock is transmitted are estimated with the other parameters of the model. We investigate the properties of an accurate estimation
method which takes into account endogeneity, and a testing procedure for simultaneity in the presence of nuisance parameters under the null hypothesis. We study the conditions on the parameters that ensure the uniqueness of the implicit reduced form of the model. We apply this methodology to the comovement between the sovereign and banking sectors of nine developed countries.
PY  - 2022-10
SN  - 0165-1889
T1  - Smooth transition simultaneous equation models
TI  - Smooth transition simultaneous equation models
UR  - https://arodes.hes-so.ch/record/11554/files/Kadili_2022_Smooth_transition_simultaneous_equation_models.pdf
VL  - December 2022, Vol. 145, article no 104546
Y1  - 2022-10
ER  -