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Instrumental variable estimation of a nonlinear Taylor rule (2010)
by
Zisimos Koustas A
,
Jean-françois Lamarche A
,
Jean-françois Lamarche
BibTeX
@MISC{A10instrumentalvariable,
author = {Zisimos Koustas A and Jean-françois Lamarche A and Jean-françois Lamarche},
title = {Instrumental variable estimation of a nonlinear Taylor rule},
year = {2010}
}
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Abstract
This paper studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We apply this methodology to a forward-looking Taylor rule where nonlinearity is introduced via inflation thresholds.
