Instrumental variable estimation of a nonlinear Taylor rule

This paper studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We apply this methodology to a forward-looking Taylor rule where nonlinearity is introduced via inflation thresholds.

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Year of publication:	2009-12
Authors:	Koustas, Zisimos ; Lamarche, Jean-Francois
Institutions:	Department of Economics, Brock University
Subject:	Thresholds \| Nonlinear Models \| Instrumental Variables \| Taylor Rule

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Forthcoming in Empirical Economics Number 0909 20 pages
Classification:	C22 - Time-Series Models ; C12 - Hypothesis Testing ; C13 - Estimation ; C87 - Econometric Software ; E58 - Central Banks and Their Policies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008597182