Efficient estimation with time-varying information and the New Keynesian Phillips Curve

Bertille Antoine and Otilia Boldea

Journal of Econometrics, 2018, vol. 204, issue 2, 268-300

Abstract: Empirical evidence suggests that many macroeconometric and financial models are subject to both instability and identification problems. We address both issues under the unified framework of time-varying information, which includes changes in instrument strength, in second moment of instruments, and in the variance of moment conditions. Our new estimation method exploits these changes for increased efficiency of the estimates of the (stable) structural parameters. We also propose a multivariate estimator for common changes in a system of linear equations. We obtain more precise estimates of the price indexation and output gap parameters than standard methods in a NKPC model.

Keywords: GMM; Weak instruments; Break-point; Change in identification strength (search for similar items in EconPapers)
JEL-codes: C13 C22 C26 C36 C51 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:204:y:2018:i:2:p:268-300

DOI: 10.1016/j.jeconom.2018.02.005

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