The UvA-LINKER will give you a range of other options to find the full text of a publication (including a direct link to the full-text if it is located on another database on the internet).
De UvA-LINKER biedt mogelijkheden om een publicatie elders te vinden (inclusief een directe link naar de publicatie online als deze beschikbaar is in een database op het internet).
faculty: "FEB" and publication year: "2003"
| Author||S. Mavroeidis|
|Title||Identification and mis-specification issues in forward-looking models|
|Publisher||Department of Quantitative Economics|
|Title series||UvA Econometrics Discussion Paper|
|Faculty||Faculty of Economics and Business|
|Institute/dept.||FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)|
|Abstract||Limited-information methods are commonly used to estimate forward-looking models with rational expectations, such as the "New Keynesian Phillips Curve" of Galli and Gertler (1999). In this paper, we address the issues of identification, which have been overlooked due to the incompleteness of the single-equation formulations. We show that problems of weak instruments can arise in these models, depending on the properties of the 'exogenous' variables, and that they are empirically relevant. We also uncover the link between identification and dynamic mis-specification, and examine the (lack of) power of
the Hansen test to detect invalid over-identifying restrictions. Finally, with regards to the New Phillips curve, we conclude that this equation is either weakly identified or mis-specified, casting doubts on its utility as a model of in
Use this url to link to this page: http://dare.uva.nl/en/record/393033
Contact us about this recordNotify a colleague
Add to bookbag