Carvalho, Carlos Viana de; Eusepi, Stefano; Mönch, Emanuel - 2021
monetary policy shocks. Endogeneity implies a correlation between regressors and the error term, and hence, an asymptotic bias … Keynesian model that the asymptotic OLS bias is proportional to the fraction of the variance of regressors accounted for by … in monetary policy rules, the endogeneity bias is small. Using simulations, we show that, for realistic sample sizes, the …
