Related Experiment Video
Updated: Mar 9, 2026

Development of an Individual-Tree Basal Area Increment Model using a Linear Mixed-Effects Approach
Published on: July 3, 2020
Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables
André L P Ribeiro1, Luiz K Hotta2
1Banco Itaú-Unibanco, São Paulo SP, Brazil.
Abstract:
Knowledge of contagion among economies is a relevant issue in economics. The canonical model of contagion is an alternative in this case. Given the existence of endogenous variables in the model, instrumental variables can be used to decrease the bias of the OLS estimator. In the presence of heteroskedastic disturbances this paper proposes the use of conditional volatilities as instruments. Simulation is used to show that the homoscedastic and heteroskedastic estimators which use them as instruments have small bias. These estimators are preferable in comparison with the OLS estimator and their asymptotic distribution can be used to construct confidence intervals.
Related Concept Videos
One-Compartment Open Model: Wagner-Nelson and Loo Riegelman Method for ka Estimation
On...
Friedman Two-way Analysis of Variance by Ranks
Econometric Views (EViews)
Estimating Population Mean with Unknown Standard Deviation
William S. Gosset (1876–1937) of the...
Distributions to Estimate Population Parameter
Goodness-of-Fit Test
