Weak identification of forward-looking models in monetary economics

Oxford Bulletin of Economics and Statistics

Volumn 66, Issue SUPPL., 2004, Pages 609-635

  Mavroeidis, Sophocles ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4944236423     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2004.00095.x     Document Type: Review

References (37)

1. Anderson, T. W. (1977). 'Asymptotic expansions of the distributions of estimates in simultaneous equations for alternative parameter sequences', Econometrica, Vol. 45, pp. 509-518.
2. Anderson, T. W. and Rubin, H. (1950). 'The asymptotic properties of estimates of the parameters of a single equation in a complete system of stochastic equations', Annals of Mathematics and Statistics, Vol. 21, pp. 570-582.
3. Batini, N., Jackson, B. and Nickell, S. (2000). Inflation Dynamics and the Labour Share in the UK, Discussion Paper 2, External MPC Unit, Bank of England, UK.
4. Binder, M. and Pesaran, M. H. (1995). 'Multivariate rational expectations models: a review and some new results', in Pesaran M. H. and Wickens M. R. (eds), Handbook of Applied Econometrics, Volume Macroeconomics, Blackwell Publishing, Oxford, pp. 139-187.
5. Blanchard, O. J. and Kahn, C. M. (1980). 'The solution of linear difference models under rational expectations', Econometrica, Vol. 48, pp. 1305-1311.
6. Buiter, W. and Jewitt, I. (1989). 'Staggered wage setting with real wage relativities: variations on a theme of Taylor', in Buiter W. (ed.), Macroeconomic Theory and Stabilization Policy, University of Michigan Press, Ann Arbor, USA, pp. 183-199.
7. Choi, I. and Phillips, P. C. B. (1992). 'Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations', Journal of Econometrics, Vol. 51, pp. 113-150.
8. Clarida, R., Galí, J. and Gertler, M. (1998). 'Monetary policy rules in practice: some international evidence', European Economic Review, Vol. 42, pp. 1033-1067.
9. Clarida, R., Galí, J. and Gertler, M. (2000). 'Monetary policy rules and macroeconomic stability: evidence and some theory', Quarterly Journal of Economics, Vol. 115, pp. 147-180.
10. Cragg, J. G. and Donald, S. G. (1997). 'Inferring the rank of a matrix', Journal of Econometrics, Vol. 76, pp. 223-250.
11. Dodge, D. (2002). Inflation Targeting in Canada: Experience and Lessons. Speech at the annual meeting of the American Economic Association and the North American Economics and Finance Association in Atlanda, Georgia. http://www.bankofcanada.ca/en/speeches/sp02-1.htm.
12. Fuhrer, J. C. and Moore, G. R. (1995). 'Inflation persistence', Quarterly Journal of Economics, Vol. 110, pp. 127-159.
13. Galí, J. and Gertler, M. (1999). 'Inflation dynamics: a structural econometric analysis', Journal of Monetary Economics, Vol. 44, pp. 195-222.
14. Galí, J., Gertler, M. and López-Salido, J. D. (2001). 'European inflation dynamics', European Economic Review, Vol. 45, pp. 1237-1270.
15. Hahn, J. and Hausman, J. (2002). 'A new specification test for the validity of instrumental variables', Econometrica, Vol. 70, pp. 1517-1527.
16. Hansen, L. P. (1982). 'Large sample properties of generalized method of moments estimators', Econometrica, Vol. 50, pp. 1029-1054.
17. Hansen, L. P. and Sargent, T. J. (1991). Rational Expectations Econometrics, Westview Press, Boulder, CA.
18. Hansen, L. P., Heaton, J. and Yaron, A. (1996). 'Finite sample properties of some alternative GMM estimators', Journal of Business and Economic Statistics, Vol. 14, pp. 262-280.
19. Johansen, S. and Juselius, K. (1994). 'Identification of the long-run and short-run structure: an application to the ISLM model', Journal of Econometrics, Vol. 63, pp. 7-36.
20. Kleibergen, F. (2002). 'Pivotal statistics for testing structural parameters in instrumental variables regression', Econometrica, Vol. 70, pp. 1781-1803.
21. Kleibergen, F. and Paap, R. (2003). 'Generalized reduced rank tests using the singular value decomposition', Discussion Paper 003/4, Tinbergen Institute, Amsterdam.
22. Lucas, R. E. J. (1976). 'Econometric policy evaluation: a critique', in Brunner K. and Meltzer A. (eds), The Philips Curve and Labor Markets, Carnegie-Rochester Conference Series on Public Policy, North-Holland, Amsterdam.
23. Mavroeidis, S. (2002). Econometric Issues in Forward-looking Monetary Models. DPhil thesis, Oxford University, Oxford.
24. Mavroeidis, S. (2003). Identification and Mis-specification Issues in Forward-looking Models, Working Paper, University of Amsterdam, Amsterdam.
25. Moreira, M. J. (2003). 'A conditional likelihood ratio test for structural models', Econometrica, Vol. 71, pp. 1027-1048.
26. Pesaran, M. H. (1987). The Limits to Rational Expectations, Blackwell Publishers, Oxford.
27. Phillips, P. C. B. (1984). 'Exact small sample theory in the simultaneous equations model', in Griliches S. and Ingriligator M. D. (eds), The Handbook of Econometrics, Vol. 1, North-Holland, Amsterdam, pp. 449-516.
28. Phillips, P. C. B. (1989). 'Partially identified econometric models', Econometric Theory, Vol. 5, pp. 181-240.
29. Robin, J.-M. and Smith, R. J. (2000). 'Tests of rank', Econometric Theory, Vol. 16, pp. 151-175.
30. Rothenberg, T. J. (1984). 'Approximating the distributions of econometric estimators and test statistics', in Griliches S. and Ingriligator M. D. (eds), The Handbook of Econometrics, Vol. 2, North-Holland, Amsterdam, pp. 881-935.
31. Staiger, D. and Stock, J. (1997). 'Instrumental variables regression with weak instruments', Econometrica, Vol. 65, pp. 557-586.
32. Stock, J. and Yogo, M. (2003). Testing for Weak Instruments in Linear IV Regression, NBER
33. Technical Working Paper, 284, NBER, USA.
34. Stock, J. H. and Wright, J. H. (2000). 'GMM with weak identification', Econometrica, Vol. 68, pp. 1055-1096.
35. Stock, J., Wright, J. and Yogo, M. (2002). 'GMM, weak instruments, and weak identification', Journal of Business and Economic Statistics, Vol. 20, pp. 518-530.
36. Taylor, J. B. (ed.) (1999). Monetary Policy Rules, University of Chicago Press, Chicago, IL.
37. Wright, J.H. (2003). 'Detecting lack of identification in GMM', Econometric Theory, Vol. 19, pp. 322-330.