VAR-based estimation of Euler equations with an application to New Keynesian pricing

DOI10.1016/J.JEDC.2006.01.005MaRDI QIDQ1017002zbMATH OpenOpenAlexFDO

Authors André Kurmann

Publication date 18 May 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2006.01.005

zbMATH Keywords

inflationmaximum likelihoodNew Keynesian Phillips curverational expectationsreal marginal cost

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20)

Recommendations

• Autoregression-based estimation of the New Keynesian Phillips curve
• On the identifiability of Euler equation estimates under saddlepath stability
• The New Keynesian Phillips curve revisited
• NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
• GMM estimation of the new Phillips curve.

Cites work

• A method for taking models to the data
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Inflation Persistence
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Estimation of Misspecified Models
• Methods to estimate dynamic stochastic general equilibrium models
• SIMANN: A Global Optimization Algorithm using Simulated Annealing
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(5)

• Some exact and inexact linear rational expectation models in vector autoregressive models
• Examining bias in estimators of linear rational expectations models under misspecification
• On the identifiability of Euler equation estimates under saddlepath stability
• Behavioral Heterogeneity in U.S. Inflation Dynamics
• The New Keynesian Phillips curve revisited

Describes a project that uses

Uses Software

• SIMANN

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