| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7726 |
| DP7726 Factor-GMM Estimation with Large Sets of Possibly Weak Instruments | |
| Massimiliano Marcellino; George Kapetanios | |
| 发表日期 | 2010-03-07 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. In particular, we focus 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. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Gmm Instrumental variables Principal components Weak instruments Dsge models |
| URL | https://cepr.org/publications/dp7726 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536562 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,George Kapetanios. DP7726 Factor-GMM Estimation with Large Sets of Possibly Weak Instruments. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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