Instrumental variable estimation of a nonlinear Taylor rule

Zisimos Koustas and Jean-Francois Lamarche ()

No 909, Working Papers from Brock University, Department of Economics

Abstract: 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: C12 C13 C22 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Forthcoming in Empirical Economics

Downloads: (external link)
https://brocku.ca/repec/pdf/0909.pdf First version, 2009 (application/pdf)
https://brocku.ca/repec/pdf/0909r.pdf Revised version, 2010 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Journal Article: Instrumental variable estimation of a nonlinear Taylor rule (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:brk:wpaper:0909

Access Statistics for this paper

More papers in Working Papers from Brock University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Jean-Francois Lamarche ().