Òscar Jordà

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Staff Working Papers

Estimation and Inference by the Method of Projection Minimum Distance

Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47

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