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

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Kapetanios, George
  • Marcellino, Massimiliano
  • Queen Mary University of London, Department of Economics

Entstanden

  • 2006

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