Arbeitspapier
Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule
The problem of weak identification has recently attracted attention in the analysis of structural macroeconomic models. Using robust methods can result in large confidence sets making inference difficult. We overcome this problem in the analysis of a forward-looking Taylor rule by seeking stronger instruments. We suggest exploiting information from a large macroeconomic data set by generating factors and using them as additional instruments. This approach results in a stronger instrument set and hence smaller weak-identification robust confidence sets. It allows us to conclude that there has been a shift in monetary policy from the pre-Volcker regime to the Volcker-Greenspan tenure.
- Sprache
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Englisch
- Erschienen in
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Series: Bonn Econ Discussion Papers ; No. 13/2011
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Monetary Policy
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
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Taylor Rule
Weak Instruments
Factor Models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mirza, Harun
Storjohann, Lidia
- Ereignis
-
Veröffentlichung
- (wer)
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University of Bonn, Bonn Graduate School of Economics (BGSE)
- (wo)
-
Bonn
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mirza, Harun
- Storjohann, Lidia
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Entstanden
- 2011
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