Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

By F. Kleibergen, Sophocles Mavroeidis. 2009

213 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ba8f126efbcbe80466c8d1690ba93810265ab796

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In Economics and Econometrics

Citations in the corpus

A new method of projection-based inference in GMM with weakly identified nuisance parameters (2011, methodology): “Simulation results in Zivot and Chaudhuri (2008), based on the setting of Kleibergen and Mavroeidis (2008b), suggest that the two methods are practically indistinguishable when the nuisance parameters are identified.6 Given that the usual projection-based tests for subsets of parameters are often…”
Unexplained factors and their effects on second pass R-squared’s (2015, methodology): “Alongside the risk premia λF estimated using the FM two step estimator, Table 7 contains estimates of the relative risk premia in (24) and their quadratic form λF ¡ VFF T ¢−1 λF .”
Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve (2014, methodology): “Kleibergen and Mavroeidis (2009) discuss these issues at length in the context of estimation of the NKPC.”
OLS and IV estimation of regression models including endogenous interaction terms (2019, result): “Furthermore, Kleibergen and Mavroeidis (2009) show that similar results hold for the GMM extension of the AR statistic by Stock and Wright (2000), which is robust to heteroskedasticity.”
Monetary Policy Rules and Macroeconomic Stability: Some New Evidence (2010, background): “In a seminal paper, Clarida, Galí, and Gertler (2000) studied the implications of monetary policy for macroeconomic uctuations using a prototypical forward-looking sticky price model of the monetary transmission mechanism. They proposed simple forward-looking equations for the reaction function of ”
Inflation Dynamics and the Great Recession (2011, unknown): “The Great Recession, unlike previous recessions, has been accompanied (9)Rudd and Whelan and Kleibergen and Mavroeidis (2009) also demonstrate technical problems with the studies supporting the Gali-Gertler model, such as weak instruments.”