Keywords: Estimation, frequency domain, misspecification
Abstract: This paper provides a famework for estimating
parameters in a wide class of dynamic rational expectations models.
The framework recognizes that RE models are often meant to match the
data only in limited ways. In particular, interest may focus on a
subset of frequencies. This paper designs a frequency domain version
of GMM. The estimator has several advantages over traditional GMM.
Aside from allowing band-restricted estimation, it does not require
making arbitrary instrument or weighting matrix choices. The framework
also includes least squares, maximum likelihood, and band restricted
maximum likelihood as special cases.
Full paper (225 KB PDF)
| Full paper (221 KB Postscript)
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