Questions tagged [gmm]

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Hybrid New Keynesian philips curve model - inflation expectation

I am doing research on the HNKPC model following Gali and Gertler 1999 as per the picture. I do not understand how to get the inflation expectations. Could I get more insight on how to perform this ...
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Why Euler equation holds for any asset i and t

Intuitively the Euler equation sets the marginal loss in utility from saving an additional unit of wealth in the current period equal to the marginal gain in expected discounted utility from consuming ...
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Structural Estimation, Simulations, and Initial Values

I want to estimate model parameters and fear about the impact of initial values of simulations. Short model overview Consider a firm producing a homogeneous output good whose output price, $P_t$, is $...
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Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
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GMM Estimation with HAC Weight Matrix in R

I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM ...
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Estimate a Monetary Policy Reaction Function with Generalized Method of Moments

I want to estimate a Monetaryu Policy Reaction function with GMM. I have well understood how to estimate a distribution (e.g. the normal distribution, the log-normal distribution, and so on) with GMM. ...
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Finding consistent but inefficient GMM estimate

Consider the following linear model $$y_t = x_t' \beta +u_t$$ where $t =1,...,T$ and $x_t = (x_{1t} x_{2t} ... x_{kt})'$ , $ \beta$ is $k \times 1$ vector of unknown coefficients, $u_t$ is an iid ...
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