Identification and mis-specification issues in forward-looking models

@inproceedings{Mavroeidis2002IdentificationAM,
  title={Identification and mis-specification issues in forward-looking models},
  author={Sophocles Mavroeidis},
  year={2002}
}
  • 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

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