Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

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.

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Year of publication:	2010-03
Authors:	Kapetanios, George ; Marcellino, Massimiliano
Institutions:	C.E.P.R. Discussion Papers
Subject:	DSGE models \| Factor models \| GMM \| Instrumental variables \| Principal components \| weak instruments

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 7726
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008468588