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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.
2009-07-09
Business Economics and Industrial Organization
Macroeconomics and International Economics
Statistics, Econometrics and Quantitative Methods
identification
dsge models
new keynesian phillips curve
identification robust estimation methods
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Working Paper
         

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