Magnusson, Leandro M.; Mavroeidis, Sophocles - In: Econometrica 82 (2014) 09, pp. 1799-1851
This paper studies inference in models that are identified by moment restrictions. We show how instability of the moments can be used constructively to improve the identification of structural parameters that are stable over time. A leading example is macroeconomic models that are immune to the...