Factor analysis in a model with rational expectations

DOI10.1111/J.1368-423X.2008.00245.XzbMath1141.91617OpenAlexW1531582647MaRDI QIDQ3521274

Andreas Beyer, Massimiliano Marcellino, Jérôme Henry, Roger E. A. Farmer

Publication date: 21 August 2008

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00245.x

zbMATH Keywords

rational expectationsfactor analysisTaylor ruleforward-looking output equationNew-Keynesian Phillips curve

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

Autoregression-based estimation of the New Keynesian Phillips curve ⋮ Factor-GMM estimation with large sets of possibly weak instruments

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Natural rate doubts
• Factor-GMM estimation with large sets of possibly weak instruments
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• WHAT WE DON'T KNOW ABOUT THE MONETARY TRANSMISSION MECHANISM AND WHY WE DON'T KNOW IT
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Automatic Lag Selection in Covariance Matrix Estimation
• Forecasting Using Principal Components From a Large Number of Predictors
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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