New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/14365

Autoria:	Martins, L. F. Gabriel, V. J.
Data:	2009
Título próprio:	New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
Volume:	31
Número:	4
Paginação:	561-571
ISSN:	0164-0704
DOI (Digital Object Identifier):	10.1016/j.jmacro.2009.01.003
Palavras-chave:	Generalized Empirical Likelihood GMM Phillips curve Weak identification
Resumo:	In this paper, we examine parameter identification in the hybrid specification of the New Keynesian Phillips Curve proposed by Gali and Gertler [Gali, J., Gertler, M., 1999. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44, 195-222]. We employ recently developed moment conditions inference procedures, which provide a more efficient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of parameter identification, obtaining robust confidence sets for the model's parameters. Our results cast serious doubts on the empirical validity of the NKPC.
Arbitragem científica:	yes
Acesso:	Acesso Aberto
Aparece nas coleções:	BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica