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Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis
Canova, Fabio
Universitat Pompeu Fabra. Departament d'Economia i Empresa
I discuss the identifiability of a structural New Keynesian Phillips curve when it is embedded in a small scale dynamic stochastic general equilibrium model. Identification problems emerge because not all the structural parameters are recoverable from the semi-structural ones and because the objective functions I consider are poorly behaved. The solution and the moment mappings are responsible for the problems.
Business Economics and Industrial Organization
Macroeconomics and International Economics
Statistics, Econometrics and Quantitative Methods
dsge models
new keynesian phillips curve
identification robust estimation methods
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