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31
European Central Bank
, 2008
"... New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check ident ..."
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Cited by 22 (0 self)
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New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check identification requires specifying the process for the forcing variables (typically the output gap) and solving the model for inflationintermsoftheobservables. Inpractice,theequationisestimatedby GMM, relying on statistical criteria to choose instruments. This may result in failure of identification or weak instruments. Secondly, the NKPC is usually derived as a part of a DSGE model, solved by loglinearising around a steady state and the variables are then measured in terms of deviations from the steady state. In practice the steady states, e.g. for output, are usually estimated by some statistical procedure such as the HodrickPrescott (HP) filter that might not be appropriate. Thirdly, there are arguments that other variables, e.g. interest rates, foreign inflation and foreign output gaps should enter the Phillips curve. This paper examines these three issues and argues that all three benefit from a global perspective. The global perspective provides additional instruments to alleviate the weak instrument problem, yields a theoretically consistent measure of the steady state and provides a natural route for foreign inflation or output gap to enter the NKPC. Keywords: Global VAR (GVAR), identification, New Keynesian Phillips Curve, TrendCycle decomposition.
Identification of new keynesian phillips curves from a global perspective. IZA Discussion Paper 3298
, 2008
"... New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check ident ..."
Abstract

Cited by 21 (2 self)
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New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check identification requires specifying the process for the forcing variables (typically the output gap) and solving the model for inflation in terms of the observables. In practice, the equation is estimated by GMM, relying on statistical criteria to choose instruments. This may result in failure of identification or weak instruments. Secondly, the NKPC is usually derived as a part of a DSGE model, solved by loglinearising around a steady state and the variables are then measured in terms of deviations from the steady state. In practice the steady states, e.g. for output, are usually estimated by some statistical procedure such as the HodrickPrescott (HP) filter that might not be appropriate. Thirdly, there are arguments that other variables, e.g. interest rates, foreign inflation and foreign output gaps should enter the Phillips curve. This paper examines these three issues and argues that all three benefit from a global perspective. The global perspective provides additional instruments to alleviate the weak instrument problem, yields a theoretically consistent measure of the steady state and provides a natural route for foreign inflation or output gap to enter the NKPC.
A Parallel CuttingPlane Algorithm for the Vehicle Routing Problem With Time Windows
, 1999
"... In the vehicle routing problem with time windows a number of identical vehicles must be routed to and from a depot to cover a given set of customers, each of whom has a specified time interval indicating when they are available for service. Each customer also has a known demand, and a vehicle may on ..."
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Cited by 13 (1 self)
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In the vehicle routing problem with time windows a number of identical vehicles must be routed to and from a depot to cover a given set of customers, each of whom has a specified time interval indicating when they are available for service. Each customer also has a known demand, and a vehicle may only serve the customers on a route if the total demand does not exceed the capacity of the vehicle. The most effective solution method proposed to date for this problem is due to Kohl, Desrosiers, Madsen, Solomon, and Soumis. Their algorithm uses a cuttingplane approach followed by a branchand bound search with column generation, where the columns of the LP relaxation represent routes of individual vehicles. We describe a new implementation of their method, using Karger's randomized minimumcut algorithm to generate cutting planes. The standard benchmark in this area is a set of 87 problem instances generated in 1984 by M. Solomon; making using of parallel processing in both the cuttingpla...
InfiniteDimensional VAR and Factor Models
, 2008
"... This paper introduces a novel approach for dealing with the ‘curse of dimensionality ’in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is show ..."
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Cited by 9 (1 self)
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This paper introduces a novel approach for dealing with the ‘curse of dimensionality ’in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinitedimensional VAR (or IVAR) can be arbitrarily well characterized by a large number of finitedimensional models in the spirit of the global VAR model proposed in Pesaran et al. (JBES, 2004). The paper also considers IVAR models with dominant individual units and shows that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and inference in a stationary IVAR with unknown number of unobserved common factors are also investigated. A cross section augmented least squares estimator is proposed and its asymptotic distribution is derived. Satisfactory small sample properties are documented by Monte Carlo experiments.
Global Factors, Unemployment Adjustment and the Natural Rate’, Economics – The Open Access, Open Assessment EJournal
 Vol
, 2008
"... and the Natural Rate by ..."
GVAR Approach and the Dominance of the US Economy
, 2007
"... This paper extends the recent literature about global macroeconomic modelling by allowing the presence of a globally dominant economy. Our contribution is both theoretical and empirical. From a theoretical standpoint, we follow Chudik and Pesaran (2011 and 2012) to derive the GVAR approach as an app ..."
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Cited by 2 (1 self)
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This paper extends the recent literature about global macroeconomic modelling by allowing the presence of a globally dominant economy. Our contribution is both theoretical and empirical. From a theoretical standpoint, we follow Chudik and Pesaran (2011 and 2012) to derive the GVAR approach as an approximation to two InfiniteDimensional VAR (IVAR) models featuring nonstationary variables: one corresponding to the world consisting of several small open economies (benchmark model), and one corresponding to the world featuring a dominant economy (extended model). It is established that in the presence of a dominant economy, restrictions implied by the asymptotic analysis of a system without a dominant economy are no longer valid. The theoretical framework is then brought to the data by estimating both versions of the GVAR model featuring 33 countries for the period 1979(Q2)2003(Q4). We found some support for the extended version of the GVAR model, allowing the US to be the dominant player in the world economy.
Estimating GVAR weight matrices
, 1523
"... publications feature a motif taken from the €5 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Marco Gross ..."
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Cited by 1 (1 self)
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publications feature a motif taken from the €5 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Marco Gross
Panel TimeSeries
, 2010
"... Traditionally economic panels had large number of crosssection units and relatively few time periods and econometric methods were developed for such ‘large N small T’ data. More recently panels with observations for a large numbers of time periods have become available on crosssection units like f ..."
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Traditionally economic panels had large number of crosssection units and relatively few time periods and econometric methods were developed for such ‘large N small T’ data. More recently panels with observations for a large numbers of time periods have become available on crosssection units like firms, industries, regions or countries. These notes explore the econometric methods developed for such ‘large N large T’ data. Such data allow more explicit treatment of (a) heterogeneity across units (b) dynamics, including the treatment of unit roots and cointegration and (c) crosssection dependence arising from spatial interactions or unobserved common factors.
and
, 2007
"... This paper uses a new time series dataset of shareholder protection consisting of 60 annual legal indicators for the period 19702005 for France, Germany, the UK and the US. On the basis of these data it examines developments in shareholder protection and reassesses the claims that commonlaw countr ..."
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This paper uses a new time series dataset of shareholder protection consisting of 60 annual legal indicators for the period 19702005 for France, Germany, the UK and the US. On the basis of these data it examines developments in shareholder protection and reassesses the claims that commonlaw countries have better shareholder protection than civil law countries. Furthermore it examines the relationship between legal changes and stock market development. It casts serious doubt on the claim that commonlaw countries have better shareholder protection which in turn leads to more stock market development.