Factor analysis in a model with rational expectations

DOI10.1111/J.1368-423X.2008.00245.XMaRDI QIDQ3521274zbMATH OpenOpenAlexFDO

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

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

factor analysisforward-looking output equationNew-Keynesian Phillips curverational expectationsTaylor rule

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• Factor-GMM estimation with large sets of possibly weak instruments
• Autoregression-based estimation of the New Keynesian Phillips curve
• DSGE models, detrending, and the method of moments
• Expectation formation and monetary DSGE models: beyond the rational expectations paradigm

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