We establish that the Phillips curve is persistence-dependent: inflation responds differently to persistent versus moderately persistent (or versus transient) fluctuations in the unemployment gap. Previous work fails to model this dependence, so it finds numerous “inflation puzzles”—such...

We estimate a monetary policy rule for the US allowing for possible frequency dependence - i.e., allowing the central bank to respond differently to more persistent innovations than to more transitory innovations, in both the unemployment rate and the inflation rate. Our estimation method uses...

The system GMM estimator developed by Blundell and Bond (1998) for dynamic panel data models has been widely used in empirical work; however, it does not perform well with weak instruments. This paper proposes a variation on the system GMM estimator, based on a simple transformation of the...

1. Nonlinearity in Stochastic Processes: What it Is and Why it Matters -- 2. Detecting Nonlinear Serial Dependence -- 3. How to Run the Toolkit Program on a PC -- 4. Artificially Generated Data: Size Considerations -- 5. Artificially Generated Data: Power And Model Specification Considerations...