Instrumental variable estimation of a nonlinear Taylor rule
Zisimos Koustas () and
Jean-Francois Lamarche ()
No 909, Working Papers from Brock University, Department of Economics
This paper studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We apply this methodology to a forward-looking Taylor rule where nonlinearity is introduced via inflation thresholds.
Keywords: Thresholds; Nonlinear Models; Instrumental Variables; Taylor Rule (search for similar items in EconPapers)
JEL-codes: C22 C12 C13 C87 E58 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2009-12, Revised 2010-07
New Economics Papers: this item is included in nep-cba and nep-ecm
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Forthcoming in Empirical Economics
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https://brocku.ca/repec/pdf/0909.pdf First version, 2009 (application/pdf)
https://brocku.ca/repec/pdf/0909r.pdf Revised version, 2010 (application/pdf)
Journal Article: Instrumental variable estimation of a nonlinear Taylor rule (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:brk:wpaper:0909
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