Paper #1159

Títol:

Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis

Autor:

Fabio Canova

Data:

Gener 2009

Resum:

I discuss the identifiability of a structural New Keynesian Phillips curve when it is embedded in a small scale dynamic stochastic general equilibrium model. Identification problems emerge because not all the structural parameters are recoverable from the semi-structural ones and because the objective functions I consider are poorly behaved. The solution and the moment mappings are responsible for the problems.

Paraules clau:

Identification, DSGE models, New Keynesian Phillips curve, Identification robust estimation methods

Codis JEL:

C10, C52, E32, E50

Àrea de Recerca:

Economia de l'Empresa i Organització Industrial / Macroeconomia i Economia Internacional / Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of business and economic statistics, forthcoming

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