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Query: faculty: "FEB" and publication year: "2004"

AuthorS. Mavroeidis
TitleIdentification issues in forward-looking models estimated by GMM, with an application to the Phillips curve
PublisherDepartment of Quantitative Economics, Universiteit van Amsterdam
Title seriesUvA Econometrics discussion paper
Series number2004/05
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractLimited-information methods are commonly used to estimate forward-looking models with
rational expectations, such as the "New Keynesian Phillips Curve" of GalĂ­ and Gertler (1999). In this paper, we address issues of identification that have been overlooked due to the incompleteness of the single-equation formulation. We show that problems of weak instruments may arise, depending on the properties of the 'exogenous' variables, and that they are empirically relevant. We also uncover a link between identification and dynamic mis-specification, and examine the (lack of) power of Hansen's (1982) J test to detect invalid over-identifying restrictions. With regards to the New Phillips curve, we find that problems of identification cannot be ruled out, and they deserve further attention.
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