Identification using stability restrictions

Leandro Magnusson, S. Mavroeidis

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

© 2014 The Econometric Society. This paper studies inference in models that are identified by moment restrictions. We show how instability of the moments can be used constructively to improve the identification of structural parameters that are stable over time. A leading example is macroeconomic models that are immune to the well-known (Lucas (1976)) critique in the face of policy regime shifts. This insight is used to develop novel econometric methods that extend the widely used generalized method of moments (GMM). The proposed methods yield improved inference on the parameters of the new Keynesian Phillips curve.
Original languageEnglish
Pages (from-to)1799-1851
JournalEconometrica
Volume82
Issue number5
DOIs
Publication statusPublished - 2014

Fingerprint Dive into the research topics of 'Identification using stability restrictions'. Together they form a unique fingerprint.

  • Cite this