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

DOI10.1016/j.jedc.2006.01.005zbMath1163.91481OpenAlexW2050884790MaRDI QIDQ1017002

André Kurmann

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

inflationrational expectationsmaximum likelihoodNew Keynesian Phillips curvereal marginal cost

Mathematics Subject Classification ID

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

Related Items

Examining bias in estimators of linear rational expectations models under misspecification ⋮ Some exact and inexact linear rational expectation models in vector autoregressive models ⋮ The New Keynesian Phillips curve revisited

Uses Software

• SIMANN

Cites Work

• Unnamed Item
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• SIMANN: A Global Optimization Algorithm using Simulated Annealing
• The Solution of Linear Difference Models under Rational Expectations
• Inflation Persistence
• Maximum Likelihood Estimation of Misspecified Models