Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models
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.
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Bibliographic InfoPaper provided by University of California, Davis, Department of Economics in its series Working Papers with number 623.
Date of creation: 22 Aug 2006
Date of revision:
Other versions of this item:
- Jorda, Oscar & Kozicki, Sharon, 2006. "Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models," Working Papers 06-23, University of California at Davis, Department of Economics.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
- Oscar Jorda, 2007.
"Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections,"
624, University of California, Davis, Department of Economics.
- Jorda, Oscar, 2007. "Joint Inference and Counterfactual Experimentation for Impulse Response Functions by Local Projections," Working Papers 06-24, University of California at Davis, Department of Economics.
- Jorda, Oscar, 2007.
"Inference for Impulse Responses,"
07-7, University of California at Davis, Department of Economics.
- Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS) 971, University of Warwick, Department of Economics.
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