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Efficient estimation of macroeconomic equations with unobservable states
Morrisy, Stephen D. - In: Economic modelling 60 (2017), pp. 408-423
Persistent link: https://www.econbiz.de/10011734263
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Monetary policy indeterminacy in the U.S.: results from a classical test
Castelnuovo, Efrem; Fanelli, Luca - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011
We work with a newly developed method to empirically assess whether a specified new-Keynesian business cycle monetary model estimated with U.S. quarterly data is consistent with a unique equilibrium or multiple equilibria under rational expectations. We conduct classical tests to verify if the...
Persistent link: https://www.econbiz.de/10009319695
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Monetary policy indeterminacy in the U.S.: results from a classical test
Castelnuovo, Efrem; Fanelli, Luca - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011
We work with a newly developed method to empirically assess whether a specified new-Keynesian business cycle monetary model estimated with U.S. quarterly data is consistent with a unique equilibrium or multiple equilibria under rational expectations. We conduct classical tests to verify if the...
Persistent link: https://www.econbiz.de/10011228008
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Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve
Magnusson, Leandro M.; Mavroeidis, Sophocles - Department of Economics, Tulane University - 2009
the coefficients of the model compared to their limited-information GMM counterparts. In contrast to previous studies that … used GMM, we find evidence of partial but not full indexation, and we obtain sharper inference on the degree of price …
Persistent link: https://www.econbiz.de/10005012456
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GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data
Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006
In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and …
Persistent link: https://www.econbiz.de/10005106329
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Testing for Weak Identification in Possibly Nonlinear Models
Rossi, Barbara; Inoue, Atsushi - Duke University, Department of Economics - 2010
In this paper we propose a chi-square test for identification. Our proposed test statistic is based on the distance between two shrinkage extremum estimators. The two estimators converge in probability to the same limit when identification is strong, and their asymptotic distributions are...
Persistent link: https://www.econbiz.de/10009145724
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The cost channel reconsidered: a comment using an identification-robust approach
Gabriel, Vasco J.; Martins, Luis F. - Núcleo de Investigação em Políticas Económicas … - 2010
We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using US data, our results suggest that the cost channel effect is poorly...
Persistent link: https://www.econbiz.de/10008765279
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On the relevance of weaker instruments
Antoine, Bertille; Renault, Eric - In: Econometric reviews 36 (2017) 6/9, pp. 928-945
Persistent link: https://www.econbiz.de/10011795536
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Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects
Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2002
In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the First Difference Maximum Likelihood Estimator and we...
Persistent link: https://www.econbiz.de/10005106468
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On the relevance of weaker instruments
Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2014
specifically, we study the asymptotic properties of the standard GMM estimator and the Hansen J-test when additional moment … restrictions that are weaker than the original ones are available. We show that the consistency of the GMM estimator is not … the efficiency of GMM estimator. Finally, we study the behavior of the Hansen J-test to assess the compatibility between …
Persistent link: https://www.econbiz.de/10010818177