Estimating New Keynesian Phillips Curves Using Exact Methods
Estimating New Keynesian Phillips Curves Using Exact Methods
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使用精确方法估计新凯恩斯菲利普斯曲线
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发表时间：
2004
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通讯作者：
Maral Kichian
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作者：
Lynda Khalaf;Maral Kichian
作者使用简单的新有限样本方法来测试新凯恩斯菲利普斯曲线（NKPC）方程的经验相关性。与基于广义矩方法的测试不同，广义 Anderson-Rubin (1949) 测试不受弱仪器的影响，并且允许通过构建来评估模型的识别状态。作者使用 Gali 和 Gertler (1999) 的 NKPC 规范和数据以及费城联邦储备银行基于调查的通胀预期系列来说明他们的结果。作者使用的测试拒绝了加利和格特勒的估计（以后者选择的工具为条件）。然而，与 Ma (2002) 获得的结果相比，作者确实获得了相对信息丰富的置信集。这为 NKPC 方程提供了支持，并说明了在基于工具变量的估计中使用精确程序的有用性。作者的结果还表明，最难识别的参数是 w；即，在 t 期间不调整价格的企业比例。
The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike tests based on the generalized method of moments, the generalized Anderson-Rubin (1949) tests are immune to the presence of weak instruments and allow, by construction, the identification status of a model to be assessed. The authors illustrate their results using Gali and Gertler's (1999) NKPC specifications and data, as well as a survey-based inflation-expectation series from the Federal Reserve Bank of Philadelphia. The test the authors use rejects Gali and Gertler's estimates (conditional on the latters' choice of instruments). Nevertheless, and in contrast with results obtained by Ma (2002), the authors do obtain relatively informative confidence sets. This provides support for NKPC equations and illustrates the usefulness of using exact procedures in estimations based on instrumental variables. The authors' results also reveal that the least well-identified parameter is w; namely, the proportion of firms that do not adjust their prices in period t.