Autoregression-based estimation of the new Keynesian Phillips curve
We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S....
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| Veröffentlicht in: | Journal of economic dynamics & control 2013-03, Vol.37 (3), p.561-570 |
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| container_title | Journal of economic dynamics & control |
| container_volume | 37 |
| creator | Lanne, Markku Luoto, Jani |
| description | We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1–2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process. |
| doi_str_mv | 10.1016/j.jedc.2012.09.008 |
| format | Article |
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| fulltext | fulltext |
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| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Economic models Estimating techniques Generalized method of moments Inflation Keynesian theory Non-Gaussian time series Noncausal time series Phillips curve Studies |
| title | Autoregression-based estimation of the new Keynesian Phillips curve |
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