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Weak instrument robust tests in GMM and the new Keynesian Phillips curve.

Abstract:

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...

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Publication status:
Published
Peer review status:
Not peer reviewed
Version:
Author's Original

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Publisher copy:
10.1198/jbes.2009.08280

Authors


Frank Kleibergen More by this author
Sophocles Mavroeidis More by this author
Publisher:
Taylor & Francis Publisher's website
Journal:
Journal of Business and Economic Statistics Journal website
Volume:
27
Issue:
3
Publication date:
2009
DOI:
URN:
uuid:7504b210-b021-47b3-9f23-380ab143393c
Local pid:
oai:economics.ouls.ox.ac.uk:15165
Language:
English

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