We propose a new information criterion for impulse response function matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters,...

This paper applies the model confidence set (MCS) procedure of <link rid="b20">Hansen, Lunde and Nason (2003)</link><link rid="q1" /> to a set of volatility models. An MCS is analogous to the confidence interval of a parameter in the sense that it contains the best forecasting model with a certain probability. The key to the MCS is...

Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected future inflation, and a measure of real aggregate demand drive the current inflation rate. This paper studies the...

A prominent test of long-run monetary neutrality (LRMN) involves regressing long-horizon output growth on long-horizon money growth. We obtain limited support for LRMN with this test in long-annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in...