Identification Using Stability Restrictions

Leandro Magnusson and Sophocles Mavroeidis

No 1116, Working Papers from Tulane University, Department of Economics

Abstract: Structural change, typically induced by policy regime shifts, is a common feature of dynamic economic models. We show that structural change can be used constructively to improve the identification of structural parameters that are stable over time. A leading example is models that are immune to the well-known Lucas (1976) critique. This insight is used to develop novel econometric methods that extend the widely used generalized method of moments (GMM). The proposed methods yield improved inference in a leading macroeconomic policy model.

Keywords: GMM; identification; structural stability; Lucas critique; new Keynesian models (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2011-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://repec.tulane.edu/RePEc/pdf/tul1116.pdf First version, 2010 (application/pdf)

Related works:
Journal Article: Identification Using Stability Restrictions (2014)
Journal Article: Identification Using Stability Restrictions (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:tul:wpaper:1116

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