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Publication Detailed Description
New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis
Journal Title
Journal of Macroeconomics
Year (definitive publication)
2009
Language
English
Country
United States of America
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Abstract
In this paper, we examine parameter identification in the hybrid specification of the New Keynesian Phillips Curve proposed by Gali and Gertler [Gali, J., Gertler, M., 1999. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44, 195-222]. We employ recently developed moment conditions inference procedures, which provide a more efficient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of parameter identification, obtaining robust confidence sets for the model's parameters. Our results cast serious doubts on the empirical validity of the NKPC.
Acknowledgements
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Keywords
Generalized Empirical Likelihood,GMM,Phillips curve,Weak identification
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| RES-061-25-0115 | Economic and Social Research Council |
