Series Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve

@inproceedings{Magnusson2011SeriesIM,
  title={Series Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve},
  author={Leandro M. Magnusson and Sophocles Mavroeidis},
  year={2011}
}
  • Leandro M. Magnusson, Sophocles Mavroeidis
  • Published 2011
Limited-information identification-robust methods on the indexation and price rigidity parameters of the new Keynesian Phillips curve yield very wide confidence intervals. Full-information methods impose more restrictions on the reduced-form dynamics, and thus make more efficient use of the information in the data. We propose identification-robust minimum distance methods for exploiting these additional restrictions and show that they yield considerably smaller confidence intervals for the… CONTINUE READING

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