We used the unobserved component model of Harvey (1989, 2011) to estimate the Phillips curve for the USA and Australia, augmenting it with the oil price. Our results show that while the coefficient of demand pressure and the intercept decreased, the coefficient of the oil price increased....

In this note, we provide the application of HCCME-type refinements to nonlinear GMM models with Bayesian interpretations.

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50–93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically...