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This paper introduces an estimator for dynamic macroeconomic models where possibly the dynamics and the variables described therein are incomplete representations of a larger, unknown macroeconomic system. We call this estimator projection minimum distance (PMD) and show that it is consistent...
Persistent link: https://www.econbiz.de/10003727907
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of...
Persistent link: https://www.econbiz.de/10003596975
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A covariance-stationary vector of variables has a Wold representation whose coefficients can be semiparametrically estimated by local projections (Jordagrave;, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of...
Persistent link: https://www.econbiz.de/10012729626