Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis

I discuss the identifiability of a structural New Keynesian Phillips curve when it is embedded in a small scale dynamic stochastic general equilibrium model. Identification problems emerge because not all the structural parameters are recoverable from the semi-structural ones and because the objective functions I consider are poorly behaved. The solution and the moment mappings are responsible for the problems.

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Year of publication:	2009-01
Authors:	Canova, Fabio
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Identification \| DSGE models \| New Keynesian Phillips curve \| Identification robust estimation methods

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C10 - Econometric and Statistical Methods: General. General ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980302