Projection Minium Distance An Estimator for Dynamic 投影最小距离的动态估计.pptVIP

July 2007 Projection Minimum Distance Estimation and Inference by the Method of Projection Minimum Distance òscar Jordà Sharon Kozicki U.C. Davis Bank of Canada The Paper in a Nutshell: An Efficient Limited Information Method Step 1: estimate the Wold representation of the data semiparametrically (local projections, Jordà, 2005) Step 2: Replace the variables in the model by their Wold representation Minimize the distance function relating the model’s parameters and the semiparametric estimates of the Wold coefficients Preview of Results Local projections are consistent and asymptotically normal (and only require least-squares) Minimum chi-square step produces consistent and asymptotically normal estimates of the parameters (often only requires least-squares) A ?2 test of the distance in the second step is a model misspecification test. PMD is asymptotically MLE/fully efficient GMM is a special case of PMD but PMD addresses some invalid/weak instrument problems + efficient Motivating Example: Galí and Gertler (1999) xrt could be a predictor of ?, hence a valid instrument/omitted variable Let Implications Substituting the Wold representation into the model Remarks xrt is a natural predictor of inflation and fulfills two roles: As an instrument: the impulse responses of the included variables with respect to xr are used to estimate the parameters As a possibly omitted variable: even if we do not use the previous impulse responses, the responses of the included variables are calculated, orthogonal to xr 1st Step: Local Projections Suppose: with ? i.i.d. and assume the Wold rep is invertible such that Local Projections then, iterating the VAR(?) with Local Projections in finite samples Consider estimating a truncated version given by Local Projections – Least Squares Local Projections (cont.) 2nd Step – Minimum Distance Notice that: is a compact way of expressing Wold conditions with Objective: Minimum Chi-Square