Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis

DOI10.1016/j.jedc.2005.08.013zbMath1162.91478OpenAlexW2159835989MaRDI QIDQ959646

Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

Publication date: 12 December 2008

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

Full work available at URL: https://cirano.qc.ca/files/publications/2005s-30.pdf

zbMATH Keywords

inflation dynamicsmacroeconomicsweak instrumentsNew Keynesian Phillips curveoptimal instrumentsidentification robust inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (16)

Examining bias in estimators of linear rational expectations models under misspecification ⋮ SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ Identification and inference in two-pass asset pricing models ⋮ On the precision of Calvo parameter estimates in structural NKPC models ⋮ Estimation uncertainty in structural inflation models with real wage rigidities ⋮ Factor-GMM estimation with large sets of possibly weak instruments ⋮ Stationary bubble equilibria in rational expectation models ⋮ Projection-based inference with particle swarm optimization ⋮ The New Keynesian Phillips curve with myopic agents ⋮ Efficient estimation with time-varying information and the New Keynesian Phillips curve ⋮ Testing for weak identification in possibly nonlinear models ⋮ Robust confidence sets in the presence of weak instruments ⋮ Identification-robust simulation-based inference in joint discrete/continuous models for energy markets ⋮ Pooling forecasts in linear rational expectations models ⋮ Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves ⋮ Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data

Cites Work

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• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Exact tests of the stability of the Phillips curve: the Canadian case
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Multiple optima and asymptotic approximations in the partial adjustment model
• GMM estimation of the new Phillips curve.
• Simulation based finite and large sample tests in multivariate regressions
• Bayesian and classical approaches to instrumental variable regression
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• The Bias of Instrumental Variable Estimators
• On the Exact Small Sample Distribution of the Instrumental Variable Estimator
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
• DETECTING LACK OF IDENTIFICATION IN GMM
• Inflation Persistence
• Judging Instrument Relevance in Instrumental Variables Estimation
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimates of Location Based on Rank Tests
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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