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Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves

Kang, Byunguk; Dufour, Jean-Marie - In: Econometric reviews 40 (2021) 7, pp. 657-687

Persistent link: https://www.econbiz.de/10012624528

Generalized band spectrum estimation with an application to the New Keynesian Phillips curve

Choi, Jinho; Escanciano, Juan Carlos; Guo, Junjie - In: Journal of applied econometrics 37 (2022) 5, pp. 1055-1078

Persistent link: https://www.econbiz.de/10013464648

Identification‐ and singularity‐robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746

This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test … and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment …‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k ≥ p …

Persistent link: https://www.econbiz.de/10012202897

Factors affecting the export of condoms from Thailand to the USA using simultaneous equations with the GMM method

Sakkarin Nonthapot - In: International journal of business and globalisation : IJBG 29 (2021) 2, pp. 211-221

Persistent link: https://www.econbiz.de/10012668933

A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

Persistent link: https://www.econbiz.de/10012244154

Revisiting habits and heterogeneity in demands

Fritsch, Markus; Pua, Andrew Adrian Yu; Schnurbus, Joachim - 2019

We conduct a narrow replication of Browning and Collado (Journal of Applied Econometrics 2007; 22(3): 625-640). They estimate a linear panel AR(1) version of an Engel curve for six consumption composites using iterated GMM. We find that the coefficient estimates and standard errors differ from the...

Persistent link: https://www.econbiz.de/10012104758

ML and GMM with concentrated instruments in the static panel data model

Bekker, Paul A.; Essen, Jelle van - In: Econometric reviews 39 (2020) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10012181529

The Moroccan New Keynesian Phillips curve : a atructural econometric analysis

Belinga, Vincent; Doukali, Mohamed - 2019

identification-robust estimation method called the Tikhonov Jackknife instrumental variables estimator. Data from Morocco are used to …

Persistent link: https://www.econbiz.de/10012121107

Taylor rule estimation by OLS

Carvalho, Carlos Viana de; Eusepi, Stefano; Mönch, Emanuel - 2021

Ordinary Least Squares (OLS) estimation of monetary policy rules produces potentially inconsistent estimates of policy parameters. The reason is that central banks react to variables, such as in ation and the output gap, which are endogenous to monetary policy shocks. Endogeneity implies a...

Persistent link: https://www.econbiz.de/10012604681

Making weak instrument sets stronger : factor-based estimation of inflation dynamics and a monetary policy rule

Mirza, Harun; Storjohann, Lidia - In: Journal of money, credit and banking : JMCB 46 (2014) 4, pp. 643-664

Persistent link: https://www.econbiz.de/10010466745