Making Weak Instrument Sets Stronger: Factor‐Based Estimation of Inflation Dynamics and a Monetary Policy Rule
针对弱识别问题导致置信区间过大的困境，本文提出利用大型宏观经济数据集提取因子作为额外工具变量，从而增强工具集强度，缩小弱识别稳健置信区间，并发现从沃尔克前到沃尔克-格林斯潘时期货币政策转向更积极。
The problem of weak identification has recently attracted attention in the analysis of structural macroeconomic models. Using robust methods can result in large confidence sets making precise inference difficult. We overcome this problem in the analysis of the hybrid New Keynesian Phillips Curve and a forward‐looking Taylor rule by employing stronger instruments. We suggest exploiting information from a large macroeconomic data set by generating factors and using them as additional instruments. This approach results in stronger instrument sets and hence smaller weak‐identification robust confidence sets. It allows us to conclude that there has been a shift toward more active monetary policy from the pre‐Volcker regime to the Volcker–Greenspan tenure.