Factor-GMM estimation with large sets of possibly weak instruments. (English) Zbl 1284.91447
Summary: 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.
MSC:
| 91B82 | Statistical methods; economic indices and measures |
| 62H25 | Factor analysis and principal components; correspondence analysis |
| 91B51 | Dynamic stochastic general equilibrium theory |
Keywords:
factor models; principal components; instrumental variables; GMM; weak instruments; DSGE modelsReferences:
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