Journal article icon

Journal article

Misspecification Testing: Non-Invariance of Expectations Models of Inflation

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

Actions


Access Document


Files:
Publisher copy:
10.1080/07474938.2013.825137

Authors


More by this author
Department:
Oxford, SSD, Economics
Role:
Author
More by this author
Department:
Oxford, SSD, Economics, EMOD
Role:
Author
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:

Terms of use


Metrics


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP