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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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Lawrence J. Christiano.

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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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Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 101.

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Date of creation: 1985
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Handle: RePEc:fip:fedmsr:101

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  1. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis. [Downloadable!]
  2. Lawrence J. Christiano & Robert J. Vigfusson, 2001. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Working Paper 0106, Federal Reserve Bank of Cleveland. [Downloadable!]
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  3. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum likelihood in the frequency domain: a time to build example," Working Paper 9901, Federal Reserve Bank of Cleveland. [Downloadable!]
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  4. Lawrence J. Christiano & Martin Eichenbaum, 1987. "Temporal aggregation and structural inference in macroeconomics," Working Papers 306, Federal Reserve Bank of Minneapolis. [Downloadable!]
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