On the precision of Calvo parameter estimates in structural NKPC models
Jean-Marie Dufour (),
Lynda Khalaf () and
Journal of Economic Dynamics and Control, 2010, vol. 34, issue 9, 1582-1595
We study the extent of empirical information that can be obtained from alternative structural New Keynesian inflation equations concerning the average duration of prices in the United States, given that such specifications may be hard to identify. Using four different indexation and real-wage-rigidity-based models, in conjunction with identification-robust econometric methods, we evaluate the precision of Calvo parameter estimates. While results are sensitive to calibration and instrument selection, we find confidence bounds on the average duration of prices that line up with available micro-founded studies, statistically significant coefficients for the forcing variables, and non-zero estimates on the coefficient of lagged inflation.
Keywords: Sticky-price; Calvo; model; Structural; estimation; Weak; identification; Indexation; Real; wage (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:34:y:2010:i:9:p:1582-1595
Access Statistics for this article
Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok
More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().