Efficient estimation with time-varying information and the New Keynesian Phillips curve

DOI10.1016/J.JECONOM.2018.02.005MaRDI QIDQ1753060zbMATH OpenOpenAlexWikidataFDO

Authors Bertille Antoine, Otilia Boldea

Publication date 25 May 2018

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.02.005

zbMATH Keywords

break-pointchange in identification strengthGMMweak instruments

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

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Cites work

• Asymptotic efficiency in estimation with conditional moment restrictions
• Automatic Lag Selection in Covariance Matrix Estimation
• Efficient GMM with nearly-weak instruments
• Efficient minimum distance estimation with multiple rates of convergence
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and Testing Structural Changes in Multivariate Regressions
• Generalized reduced rank tests using the singular value decomposition
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Identification Using Stability Restrictions
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• Instrumental Variables Regression with Weak Instruments
• Testing For and Dating Common Breaks in Multivariate Time Series

Cited in

(7)

• Time-varying instrumental variable estimation
• THE NEW KEYNESIAN PHILLIPS CURVE IN A TIME-VARYING COEFFICIENT ENVIRONMENT: SOME EUROPEAN EVIDENCE
• Identifying modern macro equations with old shocks
• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• Estimating and testing for smooth structural changes in moment condition models
• Microdata-based output gap estimation using business tendency surveys

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