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

Estimation and Inference by the Method of Projection Minimum Distance;The Paper in a Nutshell: An Efficient Limited Information Method ;Preview of Results ;Motivating Example: Galí and Gertler (1999);Implications;Remarks;1st Step: Local Projections ;Local Projections;Local Projections in finite samples;Local Projections – Least Squares;Local Projections (cont.);2nd Step – Minimum Distance;Minimum Chi-Square ;Min. Chi-Square – Least Squares;Key assumptions for Asymptotics;Asymptotic Normality - Remarks;Misspecification Test;GMM vs. PMD: An Example;However…;GMM;PMD;Monte Carlo Experiments1. PMD