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http://hdl.handle.net/10071/14365
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Title: New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
Authors: Martins, L. F.
Gabriel, V. J.
Keywords: Generalized Empirical Likelihood
GMM
Phillips curve
Weak identification
Issue Date: 2009
Publisher: Elsevier
Abstract: 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.
Peer reviewed: yes
URI: https://ciencia.iscte-iul.pt/id/ci-pub-6205
http://hdl.handle.net/10071/14365
DOI: 10.1016/j.jmacro.2009.01.003
ISSN: 0164-0704
Publisher version: The definitive version is available at: http://dx.doi.org/10.1016/j.jmacro.2009.01.003
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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