Limited-information identification-robust methods on the indexation and price rigidity parameters of the New Keynesian Phillips Curve yield very wide confidence intervals. Full-information methods impose more restrictions on the reduced-form dynamics and thus make more efficient use of the...

Limited-information methods are commonly used to estimate forward-looking models with rational expectations, such as the "New Keynesian Phillips Curve" of Galf and Gertler (1999). In this paper, we address issues of identification that have been overlooked due to the incompleteness of the...