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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2004"

AuteurS. Mavroeidis
TitelIdentification issues in forward-looking models estimated by GMM, with an application to the Phillips curve
UitgeverDepartment of Quantitative Economics, Universiteit van Amsterdam
SerietitelUvA Econometrics discussion paper
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingLimited-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.
Soort documentRapport
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