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Factor-GMM estimation with large sets of possibly weak instruments

  • Kapetanios, George
  • Marcellino, Massimiliano

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.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 54 (2010)
Issue (Month): 11 (November)
Pages: 2655-2675

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Handle: RePEc:eee:csdana:v:54:y:2010:i:11:p:2655-2675
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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