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

Bertille Antoine, Otilia Boldea

Research output: Contribution to journalArticleScientificpeer-review

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.

Original languageEnglish
Pages (from-to)268-300
JournalJournal of Econometrics
Volume204
Issue number2
DOIs
Publication statusPublished - Jun 2018

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Efficient estimation
Time-varying
New Keynesian Phillips curve
Identification problem
Moment conditions
Structural parameters
Empirical evidence
Macroeconometric model
Output gap
Estimator
Indexation
Financial models

Keywords

  • GMM
  • weak instruments
  • break-point
  • change in identification strength

Cite this

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title = "Efficient estimation with time-varying information and the New Keynesian Phillips Curve",
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.",
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Efficient estimation with time-varying information and the New Keynesian Phillips Curve. / Antoine, Bertille; Boldea, Otilia.

In: Journal of Econometrics, Vol. 204, No. 2, 06.2018, p. 268-300.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Efficient estimation with time-varying information and the New Keynesian Phillips Curve

AU - Antoine, Bertille

AU - Boldea, Otilia

PY - 2018/6

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N2 - 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.

AB - 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.

KW - GMM

KW - weak instruments

KW - break-point

KW - change in identification strength

U2 - 10.1016/j.jeconom.2018.02.005

DO - 10.1016/j.jeconom.2018.02.005

M3 - Article

VL - 204

SP - 268

EP - 300

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

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ER -