Paper #1159

Título:

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

Autor:

Fabio Canova

Fecha:

Enero 2009

Resumen:

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.

Palabras clave:

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

Códigos JEL:

C10, C52, E32, E50

Área de investigación:

Economía de la Empresa y Organización Industrial / Macroeconomía y Economía Internacional / Estadística, Econometría y Métodos Cuantitativos

Publicado en:

Journal of business and economic statistics, forthcoming

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