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Factor analysis in a New-Keynesian model
Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; … - 2005
New-Keynesian 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 of...
Persistent link: https://www.econbiz.de/10011604556
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Factor-GMM estimation with large sets of possibly weak instruments
Kapetanios, George; Marcellino, Massimiliano - 2006
This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases where the factors are not necessarily the optimal instruments but can...
Persistent link: https://www.econbiz.de/10010284191
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A comparison of estimation methods for dynamic factor models of large dimensions
Kapetanios, George; Marcellino, Massimiliano - 2003
The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its...
Persistent link: https://www.econbiz.de/10010284214
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A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006
The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and...
Persistent link: https://www.econbiz.de/10005788994
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Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006
The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM....
Persistent link: https://www.econbiz.de/10005789043
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Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2010
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...
Persistent link: https://www.econbiz.de/10008468588
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A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
Kapetanios, George; Marcellino, Massimiliano - School of Economics and Finance, Queen Mary - 2003
The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its...
Persistent link: https://www.econbiz.de/10005106328
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Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Kapetanios, George; Marcellino, Massimiliano - School of Economics and Finance, Queen Mary - 2006
This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases where the factors are not necessarily the optimal instruments but can...
Persistent link: https://www.econbiz.de/10005106388
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Factor Analysis in a New-Keynesian Model
Beyer, Andreas; Farmer, Roger E A; Henry, Jérôme; … - C.E.P.R. Discussion Papers - 2005
New-Keynesian 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 of...
Persistent link: https://www.econbiz.de/10005662376
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Regional inflation dynamics within and across euro area countries and a comparison with the US
Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2006
We investigate co-movements and heterogeneity in inflation dynamics of different regions within and across euro area … countries using a novel disaggregate dataset to improve the understanding of inflation differentials in the European Monetary … Union. We employ a model where regional inflation dynamics are explained by common euro area and country specific factors as …
Persistent link: https://www.econbiz.de/10011604727