Department of Economics and Business - Universitat Pompeu Fabra

Title:: Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis
Author:: Fabio Canova
Date:: January 2009
Abstract:: 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.
Keywords:: Identification, DSGE models, New Keynesian Phillips curve, Identification robust estimation methods
JEL codes:: C10, C52, E32, E50
Area of Research:: Business Economics and Industrial Organization / Macroeconomics and International Economics / Statistics, Econometrics and Quantitative Methods
Published in:: Journal of business and economic statistics, forthcoming

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