Conference Paper
Estimating forward-looking Euler equations with GMM estimators: an optimal-instruments approach
Abstract: We compare different methods for estimating forwardlooking output and inflation equations and show that weak identification can be an issue in conventional GMM estimation. GMM and maximum likelihood procedures that impose the dynamic constraints implied by the forwardlooking relation on the instruments set are found to be more reliable than conventional GMM. These ?optimal instruments? procedures provide a robust alternative to estimating dynamic macroeconomic relations, and suggest only a limited role for expectational terms.
Keywords: Econometric models; Monetary policy; Macroeconomics;
Status: Published in Models and monetary policy conference (2004: March 26-27, Washington DC)
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File(s): File format is application/pdf http://www.federalreserve.gov/events/conferences/mmp2004/pdf/Fuhrer-Olivei.pdf
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: Proceedings
Publication Date: 2005
Pages: 87-114