Estimating the time-varying NAIRU and the Phillips curve slope simultaneously: a note

Hiroshi Yamada

Applied Economics Letters, 2014, vol. 21, issue 15, 1057-1059

Abstract: This article presents a new method for estimating the unobservable nonaccelerating inflation rate of unemployment (NAIRU). We improve upon the method employed in Ball and Mankiw (2002) so that (i) the new method can estimate simultaneously both the time-varying NAIRU and the Phillips curve slope and (ii) it can yield traditional constant NAIRU estimates as an extreme. As an empirical illustration, we estimate the time-varying US NAIRU with the moving block bootstrap confidence intervals.

Date: 2014
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DOI: 10.1080/13504851.2014.907474

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