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A method for estimating the timing interval in a linear econometric model, with an application to Taylor's model of staggered contracts

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  • Christiano, Lawrence J.

Abstract

This paper describes and implements a procedure for estimating the timing interval in any linear econometric model. The procedure is applied to Taylor’s model of staggered contracts using annual averaged price and output data. The fit of the version of Taylor’s model with serially uncorrelated disturbances improves as the timing interval of the model is reduced.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 9 (1985)
Issue (Month): 4 (December)
Pages: 363-404

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Handle: RePEc:eee:dyncon:v:9:y:1985:i:4:p:363-404

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Web page: http://www.elsevier.com/locate/jedc

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Cited by:
  1. Kenneth Kasa, 1994. "Optimal policy with limited commitment," Working Papers in Applied Economic Theory 94-16, Federal Reserve Bank of San Francisco.
  2. Sacht, Stephen, 2014. "Analysis of various shocks within the high-frequency versions of the baseline New-Keynesian model," Economics Working Papers 2014-02, Christian-Albrechts-University of Kiel, Department of Economics.
  3. Jean Mercenier & Philippe Michel, 1995. "Temporal aggregation in a multi-sector economy with endogenous growth," Working Papers 554, Federal Reserve Bank of Minneapolis.
  4. Aadland, David, 2001. "High frequency real business cycles," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 271-292, October.
  5. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum likelihood in the frequency domain: a time to build example," Working Paper Series WP-99-4, Federal Reserve Bank of Chicago.
  6. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
  7. Lawrence J. Christiano & Martin Eichenbaum, 1987. "Temporal aggregation and structural inference in macroeconomics," Working Papers 306, Federal Reserve Bank of Minneapolis.
  8. Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
  9. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.

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