Misspecification Testing: Non-Invariance of Expectations Models of Inflation
Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables (IV) or Generalized Method of Moments (GMM). Although crises, breaks, and regime shifts...
| Main Authors: | , , , |
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| 格式: | Journal article |
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Taylor and Francis
2014
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| _version_ | 1826281731680894976 |
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| author | Castle, J Doornik, J Hendry, D Nymoen, R |
| author_facet | Castle, J Doornik, J Hendry, D Nymoen, R |
| author_sort | Castle, J |
| collection | OXFORD |
| description | Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables (IV) or Generalized Method of Moments (GMM). Although crises, breaks, and regime shifts are relatively common, the underlying theory does not allow for their occurrence. We show the consequences for such models of breaks in data processes, and propose an impulse-indicator saturation test of such specifications, applied to USA and Euro-area NKPCs. |
| first_indexed | 2024-03-07T00:33:13Z |
| format | Journal article |
| id | oxford-uuid:8086b51b-14b5-43f9-96b0-3894cacc8867 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T00:33:13Z |
| publishDate | 2014 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:8086b51b-14b5-43f9-96b0-3894cacc88672022-03-26T21:23:59ZMisspecification Testing: Non-Invariance of Expectations Models of InflationJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:8086b51b-14b5-43f9-96b0-3894cacc8867Symplectic Elements at OxfordTaylor and Francis2014Castle, JDoornik, JHendry, DNymoen, RMany economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables (IV) or Generalized Method of Moments (GMM). Although crises, breaks, and regime shifts are relatively common, the underlying theory does not allow for their occurrence. We show the consequences for such models of breaks in data processes, and propose an impulse-indicator saturation test of such specifications, applied to USA and Euro-area NKPCs. |
| spellingShingle | Castle, J Doornik, J Hendry, D Nymoen, R Misspecification Testing: Non-Invariance of Expectations Models of Inflation |
| title | Misspecification Testing: Non-Invariance of Expectations Models of Inflation |
| title_full | Misspecification Testing: Non-Invariance of Expectations Models of Inflation |
| title_fullStr | Misspecification Testing: Non-Invariance of Expectations Models of Inflation |
| title_full_unstemmed | Misspecification Testing: Non-Invariance of Expectations Models of Inflation |
| title_short | Misspecification Testing: Non-Invariance of Expectations Models of Inflation |
| title_sort | misspecification testing non invariance of expectations models of inflation |
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