Factor-GMM estimation with large sets of possibly weak instruments

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2655-2675

  Kapetanios, George ^a,b   Marcellino, Massimiliano ^a,b,c,d  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b EUI Department of Economics   (Italy)

^c BOCCONI UNIVERSITY   (Italy)

^d CEPR   (United Kingdom)

Author keywords

DSGE models; Factor models; GMM; Instrumental variables; Principal components; Weak instruments

Indexed keywords

FACTOR ANALYSIS; FACTOR MODEL; FACTOR STRUCTURE; INSTRUMENTAL VARIABLES; PRINCIPAL COMPONENTS; SIMULATION EXPERIMENTS; THEORETICAL RESULT;

ESTIMATION;

INSTRUMENTS;

EID: 77955269219     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.04.008     Document Type: Article

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