Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62899 
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dc.contributor.authorKapetanios, Georgeen
dc.contributor.authorMarcellino, Massimilianoen
dc.date.accessioned2012-09-20T13:01:40Z-
dc.date.available2012-09-20T13:01:40Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aQueen Mary University of London, Department of Economics |cLondonen
dc.relation.ispartofseries|aWorking Paper |x577en
dc.subject.jelC32en
dc.subject.jelC51en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordFactor models, Principal components, Instrumental variables, GMM, Weak instruments, DSGE modelsen
dc.subject.stwSchätztheorieen
dc.subject.stwMomentenmethodeen
dc.subject.stwDynamisches Gleichgewichten
dc.titleFactor-GMM estimation with large sets of possibly weak instruments-
dc.typeWorking Paperen
dc.identifier.ppn519772776en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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