Advanced Search
MyIDEAS: Login to save this paper or follow this series

GMM and OLS Estimation and Inference for New Keynesian Phillips Curve

Contents:

Author Info

  • Hrishikesh D. Vinod

    (Fordham University, Department of Economics)

Abstract

This paper considers estimation situations where identification, endogeneity and non-spherical regression error problems are present. Instead of always using GMM despite weak instruments to solve the endogeneity, it is possible to first check whether endogeneity is serious enough to cause inconsistency in the particular problem at hand. We show how to use Maximum Entropy bootstrap (meboot) for nonstationary time series data and check `convergence in probability' and `almost sure convergence' by evaluating the proportion of sample paths straying outside error bounds as the sample size increases. The new Keynesian Phillips curve (NKPC) ordinary least squares (OLS) estimation for US data finds little endogeneity-induced inconsistency and that GMM seems to worsen it. The potential `lack of identification' problem is solved by replacing the traditional pivot which divides an estimate by its standard error by the Godambe pivot, as explained in Vinod (2008) and Vinod (2010), leading to superior confidence intervals for deep parameters of the NKPC model.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://stage.web.fordham.edu/images/academics/graduate_schools/gsas/economics/dp2010_02_vinod.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Fordham University, Department of Economics in its series Fordham Economics Discussion Paper Series with number dp2010-02.

as in new window
Length:
Date of creation: 2010
Date of revision:
Handle: RePEc:frd:wpaper:dp2010-02

Contact details of provider:
Web page: http://www.fordham.edu/economics/
More information through EDIRC

Related research

Keywords: Bootstrap; simulation; convergence; inflation inertia; sticky prices;

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:frd:wpaper:dp2010-02. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fordham Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.