Weak instrument robust tests in GMM and the new Keynesian Phillips curve.
We discuss weak instrument robust statistics in GMM for testing hypotheses on the full parameter vector or on subsets of the parameters. We use these test procedures to reexamine the evidence on the new Keynesian Phillips curve model. We find that U.S. postwar data are consistent with the view that inflation dynamics are predominantly forward-looking, but we cannot rule out the presence of considerable backward-looking dynamics. Moreover, the Phillips curve has become flatter recently, and th...Expand abstract
- Publication status:
- Peer review status:
- Not peer reviewed
- Author's Original
- Copyright holder:
- American Statistical Association
- Copyright date:
- This is an Author's Original Manuscript of an article whose final and definitive form, the Version of Record, has been published in the Journal of Business & Economic Statistics (July 2009), © 2009 American Statistical Association, available online at: http://www.tandfonline.com/10.1198/jbes.2009.08280.