Arbeitspapier
Factor-GMM estimation with large sets of possibly weak instruments
This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases where the factors are not necessarily the optimal instruments but can provide a summary of a large set of instruments. Further, the situation where many weak instruments exist is also considered in the context of factor models. Theoretical results, simulation experiments and empirical applications highlight the relevance and simplicity of Factor-GMM estimation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 577
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Monetary Policy
- Thema
-
Factor models, Principal components, Instrumental variables, GMM, Weak instruments, DSGE models
Schätztheorie
Momentenmethode
Dynamisches Gleichgewicht
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
Marcellino, Massimiliano
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Marcellino, Massimiliano
- Queen Mary University of London, Department of Economics
Entstanden
- 2006
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