Factor-GMM estimation with large sets of possibly weak instruments

George Kapetanios and Massimiliano Marcellino

Computational Statistics & Data Analysis, 2010, vol. 54, issue 11, 2655-2675

Abstract: The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is 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.

Keywords: Factor; models; Principal; components; Instrumental; variables; GMM; Weak; instruments; DSGE; models (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (70)

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Related works:
Working Paper: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments (2010)
Working Paper: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments (2006)
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