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: "2004"
| Author||S. Mavroeidis|
|Title||Weak identification of forward-looking models in monetairy economics|
|Publisher||Department of Quantitative Economics|
|Title series||UvA Econometrics Discussion Paper|
|Faculty||Faculty of Economics and Business|
|Institute/dept.||FEB: Amsterdam School of Economics Research Institute (ASE-RI)|
|Abstract||Recently, single-equation GMM methods have become popular in the monetary economics literature, for estimating forward-looking models with rational expectations. We discuss a method for analyzing the empirical identification of such models that exploits their dynamic structure and the assumption of rational expectations. This allows us to judge the reliability of the resulting GMM estimation and inference and reveals the potential sources of weak identification. With reference to the New Keynesian Phillips curve of Galí and Gertler (1999) and the forward-looking Taylor rules of Clarida, Galí, and Gertler (2000), we demonstrate that the usual 'weak instruments' problem can arise naturally, when the predictable variation in inflation is small relative to unpredictable future shocks (news). Hence, we conclude that those models are less reliably estimated over periods when inflation has been under effective policy control.|
Use this url to link to this page: http://dare.uva.nl/en/record/393128
Contact us about this recordNotify a colleague
Add to bookbag