Kuester, Keith; Müller, Gernot J.; Stölting, Sarah - In: Economics Letters 103 (2009) 1, pp. 39-41
This paper provides Monte Carlo evidence that GMM estimates of the New Keynesian Phillips curve are biased towards finding too much price rigidity if cost-push shocks are auto-correlated. This result may reconcile GMM estimates with the microevidence on price rigidities.