Identification and mis-specification issues in forward-looking models

  title={Identification and mis-specification issues in forward-looking models},
  author={Sophocles Mavroeidis},
  • Sophocles Mavroeidis
  • Published 2002
Limited-information methods are commonly used to estimate forward-looking models with rational expectations, such as the “New Keynesian Phillips Curve” of Gaĺı 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… CONTINUE READING


Publications referenced by this paper.
Showing 1-10 of 33 references

The limits to Rational Expectations

  • M. H. Pesaran
  • Oxford: Blackwell Publishers.
  • 1987
Highly Influential
4 Excerpts

Econometric Issues in Forward-Looking Monetary Models

  • S. Mavroeidis
  • DPhil thesis, Oxford University, Oxford.
  • 2002
Highly Influential
7 Excerpts

GMM estimation of the New Keynesian Phillips Curve

  • A. Ma
  • Economics Letters 76, 411–417.
  • 2002
Highly Influential
11 Excerpts

Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations

  • I. Choi, P.C.B. Phillips
  • Journal of Econometrics 51, 113–150.
  • 1992
Highly Influential
4 Excerpts

The encompassing implications of feedback versus feedforward mechanisms in econometrics

  • D. F. Hendry
  • Oxford Economic Papers 40, 132–149.
  • 1988
Highly Influential
6 Excerpts

Staggered wage setting with real wage relativities: Variations on a theme of Taylor

  • W. Buiter, I. Jewitt
  • A. Arbor (Ed.), Macroeconomic Theory and…
  • 1985
Highly Influential
19 Excerpts

Large sample properties of generalized method of moments estimators

  • L P.
  • Economic Review
  • 1982
Highly Influential
10 Excerpts

Monetary policy rules in practice: Some international evidence

  • R. Clarida, J. Gaĺı, M. Gertler
  • European Economic Review 42, 1033–67. 42
  • 1998
Highly Influential
2 Excerpts

Asymptotic expansions of the distributions of estimates in simultaneous equations for alternative parameter sequences

  • T. W. Anderson
  • Econometrica 45, 509–518.
  • 1977
Highly Influential
3 Excerpts

Similar Papers

Loading similar papers…