| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17153 |
| DP17153 Dynamic Identification Using System Projections and Instrumental Variables | |
| Daniel Lewis; Karel Mertens | |
| 发表日期 | 2022-03-29 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We propose System Projections with Instrumental Variables (SP-IV) to estimate dynamic structural relationships. SP-IV replaces lag sequences of instruments in traditional IV with lead sequences of endogenous variables. SP-IV allows the inclusion of controls to weaken exogeneity requirements, can be more efficient than IV with lags, and allows identification over many time horizons without creating many-weak-instruments problems. SP-IV also enables the estimation of structural relationships across impulse responses obtained from local projections or vector autoregressions. We provide a bias-based test for instrument strength, and inference procedures under strong and weak identification. SP-IV outperforms competing estimators of the Phillips Curve parameters in simulations. We estimate the Phillips Curve implied by the main business cycle shock of Angeletos, Collard and Dellas (2020), and find evidence for forward-looking behavior. The data is consistent with weak but also relatively strong cyclical connections between inflation and unemployment. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Structural equations Instrumental variables Impulse responses Robust inference Phillips curve Inflation dynamics |
| URL | https://cepr.org/publications/dp17153 |
| 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/546144 |
| 推荐引用方式 GB/T 7714 | Daniel Lewis,Karel Mertens. DP17153 Dynamic Identification Using System Projections and Instrumental Variables. 2022. |
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