Misspecification testing: non-invariance of expectations models of inflation

DOI10.1080/07474938.2013.825137MaRDI QIDQ5080460zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

structural breaksexpectationsimpulse-indicator saturationNew-Keynesian Phillips curvetesting invariance

Mathematics Subject Classification ID

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)

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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

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Uses Software

• Ox

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