Misspecification testing: non-invariance of expectations models of inflation
DOI10.1080/07474938.2013.825137zbMATH Open1491.62192OpenAlexW1989320345MaRDI QIDQ5080460FDOQ5080460
Authors: Jennifer L. Castle, Jurgen A. Doornik, Ragnar Nymoen, David F. Hendry 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.rcea.org/RePEc/pdf/wp50_12.pdf
Recommendations
- The New Keynesian Phillips curve and inflation expectations: re-specification and interpretation
- A test of the future expectations model
- Issues in estimating New Keynesian Phillips curves in the presence of unknown structural change
- GMM estimation of the new Phillips curve.
- Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
structural breaksexpectationsimpulse-indicator saturationNew-Keynesian Phillips curvetesting invariance
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- The Estimation of Economic Relationships using Instrumental Variables
- Estimating and Testing Linear Models with Multiple Structural Changes
- Dynamic Econometrics
- Title not available (Why is that?)
- Robustifying forecasts from equilibrium-correction systems
- Title not available (Why is that?)
- Forecasting Economic Time Series
- Rare disasters and asset markets in the twentieth century
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
- Identification of rational expectations models
- The cointegrated VAR model: Methodology and applications.
- Autometrics
- Title not available (Why is that?)
- Evaluating automatic model selection
- Model selection when there are multiple breaks
- On adding over-identifying instrumental variables to simultaneous equations
- Automatic selection of indicators in a fully saturated regression
- Imperfect knowledge economics: Exchange rates and risk. Foreword by Edmund S. Phelps.
- Unpredictability in economic analysis, econometric modeling and forecasting
- MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
Cited In (6)
- Issues in estimating New Keynesian Phillips curves in the presence of unknown structural change
- Using a projection method to analyze inflation bias in a micro-founded model
- Behavioral Heterogeneity in U.S. Inflation Dynamics
- Small-sample inference in rational expectations models with persistent data
- A test of the future expectations model
- The misuse of the Vuong test for non-nested models to test for zero-inflation
Uses Software
This page was built for publication: Misspecification testing: non-invariance of expectations models of inflation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080460)
