Efficient estimation of macroeconomic equations with unobservable states

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• 作者：Stephen D. Morrisy ^{smorris@bowdoin.edu}
• 关键词：C32 ; C51 ; E12 ; E52
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：408-423
• 全文大小：1355 K
• 卷排序：60

文摘

Estimation of Euler equation, New Keynesian Phillips curve, and Taylor rule. Uses additional moment restrictions from equilibrium models to improve efficiency. Monte Carlo simulations consider topics related to weak identification. Results show the slope of the Phillips curve in post-War U.S. data is positive. Immediate policy implications are discussed.