Factor-GMM estimation with large sets of possibly weak instruments
Year of publication: |
2006
|
---|---|
Authors: | Kapetanios, George ; Marcellino, Massimiliano |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Schätztheorie | Momentenmethode | Dynamisches Gleichgewicht | Factor models, Principal components, Instrumental variables, GMM, Weak instruments, DSGE models |
Series: | Working Paper ; 577 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 519772776 [GVK] hdl:10419/62899 [Handle] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
-
A comparison of estimation methods for dynamic factor models of large dimensions
Kapetanios, George, (2003)
-
VARMA Representation of DSGE Models
Morris, Stephen, (2015)
-
Bayesian Analysis of DSGE Models with Regime Switching
Eo, Yunjong, (2016)
- More ...
-
Time-varying instrumental variable estimation
Giraitis, Liudas, (2020)
-
Large time‐varying parameter VARs : A nonparametric approach
Kapetanios, George, (2019)
-
Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea, (2008)
- More ...