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dc.contributor.authorJordà, Òscaren_US
dc.contributor.authorKozicki, Sharonen_US
dc.date.accessioned2009-09-29en_US
dc.date.accessioned2010-05-14T11:04:05Z-
dc.date.available2010-05-14T11:04:05Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/31336-
dc.description.abstractThis 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 and asymptotically normal. Many times, PMD can provide consistent estimates of structural parameters even when the dynamics of the macroeconomic model are insufficient to account for the serial correlation of the data or correlation with information omitted from the model. PMD provides an overall specification chi-squared test based on the distance between the impulse responses of the model and their semi-parametric estimates from the data. PMD only requires two, simple, least-squares steps and can be generalized to more complex, nonlinear environments.en_US
dc.language.isoengen_US
dc.publisherDep. of Economics, Univ. of California Davis, Calif.en_US
dc.relation.ispartofseriesWorking papers // University of California, Department of Economics 06,23en_US
dc.subject.jelD12en_US
dc.subject.jelR41en_US
dc.subject.jelR48en_US
dc.subject.ddc330en_US
dc.titleProjection minimum distance: an estimator for dynamic macroeconomic modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn571791476en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Papers, Department of Economics, UC Davis

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