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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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Author Info

  • Lawrence J. Christiano.

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

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

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

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Cited by:
  1. Mercenier, J. & Michel, P., 1995. "Temporal Aggregation in a Multi-Sector Economy with Endogenous Growth," Cahiers de recherche 9540, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Christiano, L.J. & Vigfusson, R.J., 1999. "Maximum Likelihood in the Frequency Domain: a Time to Build Example," Papers 9901, London School of Economics - Centre for Labour Economics.
  3. 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.
  4. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
  5. Aadland, David, 2001. "High frequency real business cycles," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 271-292, October.
  6. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
  7. Kenneth Kasa, 1994. "Optimal policy with limited commitment," Working Papers in Applied Economic Theory 94-16, Federal Reserve Bank of San Francisco.
  8. 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.

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