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dc.contributor.authorKapetanios, Georgeen_US
dc.contributor.authorMarcellino, Massimilianoen_US
dc.date.accessioned2012-09-20T13:01:40Z-
dc.date.available2012-09-20T13:01:40Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/62899-
dc.description.abstractThis 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 provide a summary of a large set of instruments. Further, the situation where many weak instruments exist is also considered in the context of factor models. Theoretical results, simulation experiments and empirical applications highlight the relevance and simplicity of Factor-GMM estimation.en_US
dc.language.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 577en_US
dc.subject.jelC32en_US
dc.subject.jelC51en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordFactor models, Principal components, Instrumental variables, GMM, Weak instruments, DSGE modelsen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwMomentenmethodeen_US
dc.subject.stwDynamisches Gleichgewichten_US
dc.titleFactor-GMM estimation with large sets of possibly weak instrumentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn519772776en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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