Autoregression-based estimation of the New Keynesian Phillips curve

DOI10.1016/j.jedc.2012.09.008zbMath1346.91192OpenAlexW2111338961WikidataQ61626476 ScholiaQ61626476MaRDI QIDQ318369

Jani Luoto, Markku Lanne

Publication date: 5 October 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/25872

zbMATH Keywords

inflationPhillips curvenon-Gaussian time seriesnoncausal time series

Mathematics Subject Classification ID

Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Forecasting with a noncausal VAR model ⋮ Noncausality and inflation persistence ⋮ Selecting between causal and noncausal models with quantile autoregressions

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum likelihood estimation for noncausal autoregressive processes
• Maximum likelihood estimation for all-pass time series models
• Factor analysis in a model with rational expectations
• Automatic Lag Selection in Covariance Matrix Estimation
• Noncausal Autoregressions for Economic Time Series

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