Factor-GMM estimation with large sets of possibly weak instruments

被引：51

作者：

Kapetanios, George ^{[1
,2
]}

Marcellino, Massimiliano ^{[1
,2
,3
]}

机构：

[1] Univ London, Dept Econ, London E1 4NS, England

[2] EUI Dept Econ, I-50133 Milan, Italy

[3] Bocconi Univ, Milan, Italy

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2010年 / 54卷 / 11期

关键词：

Factor models; Principal components; Instrumental variables; GMM; Weak instruments; DSGE models; MONETARY-POLICY RULES; DYNAMIC-FACTOR MODEL; PRINCIPAL COMPONENTS; ECONOMETRIC-ANALYSIS; INFLATION DYNAMICS; COVARIANCE-MATRIX; LARGE DIMENSIONS; LARGE NUMBER; DISTRIBUTIONS; IDENTIFICATION;

D O I：

10.1016/j.csda.2010.04.008

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor structure is weak. Theoretical results, simulation experiments and empirical applications highlight the relevance of Factor-GMM estimation, which is also easily implemented. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：2655 / 2675

页数：21

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