IDENTIFICATION USING STABILITY RESTRICTIONS

• 成果类型: Article
• 署名作者: Magnusson, Leandro M.; Mavroeidis, Sophocles
• 署名单位: University of Western Australia; University of Oxford; University of Oxford
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA9612
• 发表日期: 2014
• 页码: 1799-1851
• 关键词: generalized-method; EFFICIENT TESTS; parameter instability; structural-change; weak instruments; staggered prices; trend inflation; gmm; inference; models

摘要

This paper studies inference in models that are identified by moment restrictions. We show how instability of the moments can be used constructively to improve the identification of structural parameters that are stable over time. A leading example is macroeconomic models that are immune to the well-known (Lucas (1976)) critique in the face of policy regime shifts. This insight is used to develop novel econometric methods that extend the widely used generalized method of moments (GMM). The proposed methods yield improved inference on the parameters of the new Keynesian Phillips curve.