| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13404 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w13404 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571076 |
| 推荐引用方式 GB/T 7714 | Andreas Beyer,Roger E. A. Farmer,Jérôme Henry,et al. Factor Analysis in a Model with Rational Expectations. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13404.pdf（274KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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