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来源类型Working Paper
规范类型报告
DOI10.3386/w13404
来源IDWorking Paper 13404
Factor Analysis in a Model with Rational Expectations
Andreas Beyer; Roger E. A. Farmer; Jérôme Henry; Massimiliano Marcellino
发表日期2007-09-12
出版年2007
语种英语
摘要DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack or weakness of identification of the parameters, misspecification of the model due to omitted variables or parameter instability, and the common use of inefficient estimation methods. Several authors have raised concerns over the implications of using inappropriate instruments to achieve identification. In this paper we analyze the practical relevance of these problems and we propose to combine factor analysis for information extraction from large data sets and GMM to estimate the parameters of systems of forward looking equations. Using these techniques, we evaluate the robustness of recent findings on the importance of forward looking components in the equations of a standard New-Keynesian model.
主题Macroeconomics ; Monetary Policy
URLhttps://www.nber.org/papers/w13404
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/571076
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GB/T 7714
Andreas Beyer,Roger E. A. Farmer,Jérôme Henry,et al. Factor Analysis in a Model with Rational Expectations. 2007.
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