Efficient estimation with time-varying information and the New Keynesian Phillips curve

DOI10.1016/j.jeconom.2018.02.005zbMath1452.62876OpenAlexW2205744443WikidataQ130129946 ScholiaQ130129946MaRDI QIDQ1753060

Bertille Antoine, Otilia Boldea

Publication date: 25 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.02.005

zbMATH Keywords

GMMweak instrumentsbreak-pointchange in identification strength

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Related Items (2)

Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Time-varying instrumental variable estimation

Cites Work

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• Asymptotic efficiency in estimation with conditional moment restrictions
• Efficient GMM with nearly-weak instruments
• Testing For and Dating Common Breaks in Multivariate Time Series
• Automatic Lag Selection in Covariance Matrix Estimation
• Instrumental Variables Regression with Weak Instruments
• Estimating and Testing Linear Models with Multiple Structural Changes
• Identification Using Stability Restrictions
• Estimating and Testing Structural Changes in Multivariate Regressions

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