Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves

DOI10.1080/07474938.2021.1889199MaRDI QIDQ5862422zbMATH OpenOpenAlexFDO

Authors Byunguk Kang, Jean-Marie Dufour

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2021.1889199

zbMATH Keywords

exact inferenceidentification-robust testlagged dependent variableMonte Carlo testNew Keynesian Phillips curvesimultaneous equation modelweak instruments

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

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• Testing Statistical Hypotheses
• The properties of some covariance matrix estimators in linear models with AR(1) errors

Cited in

(3)

• Efficient estimation with time-varying information and the New Keynesian Phillips curve
• Econometric Reviews Honors Cheng Hsiao
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis

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