کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7357973 1478567 2018 85 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficient estimation with time-varying information and the New Keynesian Phillips Curve
ترجمه فارسی عنوان
برآورد موثر با اطلاعات متفاوت زمان و منحنی فیلیپس نیوکینزین
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Empirical evidence suggests that many macroeconometric and financial models are subject to both instability and identification problems. We address both issues under the unified framework of time-varying information, which includes changes in instrument strength, in second moment of instruments, and in the variance of moment conditions. Our new estimation method exploits these changes for increased efficiency of the estimates of the (stable) structural parameters. We also propose a multivariate estimator for common changes in a system of linear equations. We obtain more precise estimates of the price indexation and output gap parameters than standard methods in a NKPC model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 204, Issue 2, June 2018, Pages 268-300
نویسندگان
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