Generalized Spectral Estimation
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.
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/feds/1996/199637/199637pap.pdf
Part of Series: Finance and Economics Discussion Series
Pages: 17 pages