- Abstract:
-
Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables (IV) or Generalized Method of Moments (GMM). Although crises, breaks, and regime shifts are relatively common, the underlying theory does not allow for their occurrence. We show the consequences for such models of breaks in data processes, and propose an impulse-indicator saturation t...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted Manuscript
- Files:
-
-
(pdf, 173.1KB)
-
- Publisher copy:
- 10.1080/07474938.2013.825137
-
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- Publisher:
- Taylor and Francis Publisher's website
- Journal:
- Econometric Reviews Journal website
- Volume:
- 33
- Issue:
- 5-6
- Pages:
- 553-574
- Publication date:
- 2014-08-18
- DOI:
- EISSN:
-
1532-4168
- ISSN:
-
0747-4938
- Pubs id:
-
pubs:443027
- URN:
-
uri:8086b51b-14b5-43f9-96b0-3894cacc8867
- UUID:
-
uuid:8086b51b-14b5-43f9-96b0-3894cacc8867
- Local pid:
- pubs:443027
- Keywords:
- Copyright holder:
- Taylor and Francis
- Copyright date:
- 2014
- Notes:
- Copyright © Taylor and Francis Group, LLC. This is the accepted manuscript version of the article. The final version is available online from Taylor and Francis at:10.1080/07474938.2013.825137
Journal article
Misspecification Testing: Non-Invariance of Expectations Models of Inflation
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