Factor-GMM estimation with large sets of possibly weak instruments

Simple item page
dc.contributor.authorKAPETANIOS, George
dc.contributor.authorMARCELLINO, Massimiliano
dc.date.accessioned2016-07-07T08:35:16Z
dc.date.available2016-07-07T08:35:16Z
dc.date.issued2006
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.
dc.identifier.issn1473-0278
dc.identifier.urihttps://hdl.handle.net/1814/42367
dc.language.isoen
dc.relation.ispartofseriesQueen Mary University of Londonen
dc.relation.ispartofseriesWorking Papersen
dc.relation.ispartofseries2006/577en
dc.titleFactor-GMM estimation with large sets of possibly weak instruments
dc.typeWorking Paper
dspace.entity.typePublication
eui.subscribe.skiptrue
person.identifier.other26452
relation.isAuthorOfPublication40c8706f-96c5-4201-aba5-626a9232e5d7
relation.isAuthorOfPublication.latestForDiscovery40c8706f-96c5-4201-aba5-626a9232e5d7
Files
Collections
RSC Working Papers