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Identification-robust minimum distance estimation of the new keynesian phillips curve.

Abstract:

Limited-information identification-robust methods on the indexation and price rigidity parameters of the New Keynesian Phillips Curve yield very wide confidence intervals. Full-information methods impose more restrictions on the reduced-form dynamics and thus make more efficient use of the information in the data. However, such methods are also subject to weak instrument problems. We propose identification-robust minimum distance methods for exploiting these additional restrictions and show t...

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Files:
Publisher copy:
10.1111/j.1538-4616.2009.00295.x
Publisher:
Blackwell Publishing
Journal:
Journal of Money, Credit and Banking More from this journal
Volume:
42
Issue:
2-3
Pages:
465 - 481
Publication date:
2010-01-01
DOI:
ISSN:
1538-4616
Language:
English
UUID:
uuid:6d9848d3-276a-48cd-97bb-60088aeca600
Local pid:
oai:economics.ouls.ox.ac.uk:15167
Deposit date:
2011-08-16

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