| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5608 |
| DP5608 UK Inflation Persistence: Policy or Nature? | |
| Patrick Minford; Eric Nowell; Naveen Srinivasan; Prakriti Sofat | |
| 发表日期 | 2006-04-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically valid confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as data generating process and illustrate our methods with instrumental variable estimators of monetary policy rules. The assumption that output does not fall in response to an expansionary monetary policy shock leads to an inequality moment condition that can substantially increase the precision with which the policy rule is estimated. The results obtained in this paper extend to conventional GMM estimators. |
| 主题 | International Macroeconomics |
| 关键词 | Empirical likelihood estimation Generalized method of movements Inequality moment conditions Instrumental variable estimation Monetary policy rules |
| URL | https://cepr.org/publications/dp5608 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534459 |
| 推荐引用方式 GB/T 7714 | Patrick Minford,Eric Nowell,Naveen Srinivasan,et al. DP5608 UK Inflation Persistence: Policy or Nature?. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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