New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis

Detalhes bibliográficos
Autor(a) principal: Martins, L. F.
Data de Publicação: 2009
Outros Autores: Gabriel, V. J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/id/ci-pub-6205
http://hdl.handle.net/10071/14365
Resumo: 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.
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spelling New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysisGeneralized Empirical LikelihoodGMMPhillips curveWeak identificationIn 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.Elsevier2017-09-06T13:48:21Z2009-01-01T00:00:00Z20092017-09-06T13:47:15Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/id/ci-pub-6205http://hdl.handle.net/10071/14365eng0164-070410.1016/j.jmacro.2009.01.003Martins, L. F.Gabriel, V. J.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:31:12Zoai:repositorio.iscte-iul.pt:10071/14365Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:01.317453Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
title New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
spellingShingle New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
Martins, L. F.
Generalized Empirical Likelihood
GMM
Phillips curve
Weak identification
title_short New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
title_full New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
title_fullStr New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
title_full_unstemmed New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
title_sort New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
author Martins, L. F.
author_facet Martins, L. F.
Gabriel, V. J.
author_role author
author2 Gabriel, V. J.
author2_role author
dc.contributor.author.fl_str_mv Martins, L. F.
Gabriel, V. J.
dc.subject.por.fl_str_mv Generalized Empirical Likelihood
GMM
Phillips curve
Weak identification
topic Generalized Empirical Likelihood
GMM
Phillips curve
Weak identification
description 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.
publishDate 2009
dc.date.none.fl_str_mv 2009-01-01T00:00:00Z
2009
2017-09-06T13:48:21Z
2017-09-06T13:47:15Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ciencia.iscte-iul.pt/id/ci-pub-6205
http://hdl.handle.net/10071/14365
url https://ciencia.iscte-iul.pt/id/ci-pub-6205
http://hdl.handle.net/10071/14365
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0164-0704
10.1016/j.jmacro.2009.01.003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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