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Robust Estimates of the New Keynesian Phillips Curve

  • Paul Levine

    (University of Surrey)

  • Luis F. Martins

    (Department of Quantitative Methods, ISCTE, Portugal)

  • Vasco J. Gabriel

    (University of Surrey and NIPE-UM)

In this paper, we examine the hybrid specification of the New Keynesian Phillips Curve (NKPC) proposed by Gali and Gertler (1999) by employing recently developed momentconditions inference procedures. These methods provide a more efficient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of parameter identification, providing robust estimates and confidence sets for the model’s parameters. Our results show that the NKPC remains a valid and reliable empirical tool to explain inflation dynamics.

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File URL: http://www.fahs.surrey.ac.uk/economics/discussion_papers/2006/DP02-06.pdf
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Paper provided by School of Economics, University of Surrey in its series School of Economics Discussion Papers with number 0206.

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Length: 16 pages
Date of creation: Jan 2006
Date of revision:
Handle: RePEc:sur:surrec:0206
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  1. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-80, July.
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  7. Jordi Gali & Mark Gertler, 2000. "Inflation Dynamics: A Structural Econometric Analysis," NBER Working Papers 7551, National Bureau of Economic Research, Inc.
  8. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  9. Ma, Adrian, 2002. "GMM estimation of the new Phillips curve," Economics Letters, Elsevier, vol. 76(3), pages 411-417, August.
  10. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  11. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  12. Jordi Galí & Mark Gertler & David López-Salido, 2005. "Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve," Banco de Espa�a Working Papers 0520, Banco de Espa�a.
  13. Mehmet Caner, 2005. "Exponential Tilting with Weak Instruments: Estimation and Testing," Econometrics 0509017, EconWPA.
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