## Weak identification of forward-looking models in monetary economics (2003)

Citations: | 14 - 1 self |

### BibTeX

@TECHREPORT{Mavroeidis03weakidentification,

author = {Sophocles Mavroeidis},

title = {Weak identification of forward-looking models in monetary economics},

institution = {},

year = {2003}

}

### OpenURL

### Abstract

economics

### Citations

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675 |
Instrumental Variables Regression with Weak Instruments
- Staiger, Stock
- 1997
(Show Context)
Citation Context ... 2 However, it must be emphasized that none of these tests can distinguish between weak and strong identification, and they have power even in situations where empirical identification is still weak (=-=Staiger and Stock 1997-=-). There are two alternative diagnostic tools that offer a solution to this problem. One is the Hahn and Hausman (2002) test, which is a Hausman-type test of the null hypothesis of strong identificati... |

662 | Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,” Quarterly - Clarida, Gali, et al. - 1998 |

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159 | Monetary policy rules in practice some international evidence - Clarida, Gali, et al. - 1998 |

157 |
Testing for weak instruments in linear IV regression
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- 2005
(Show Context)
Citation Context ...tified and those that are weakly identified. The minimum eigenvalue of the concentration parameter, denoted µ 2 min or simply µ2 when p = 1, could serve as an index of the strength of identification (=-=Stock and Yogo 2001-=-). 92.2 Checking identification The above analysis demonstrated why the usual rank condition for identification is not sufficient for reliable estimation and inference in finite samples. To distingui... |

121 | Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models." Econometrica 65 - Dufour - 1997 |

101 | A Conditional Likelihood Ratio Test for Structural Models - Moreira - 2003 |

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90 |
The Limits to Rational Expectations
- Pesaran
- 1989
(Show Context)
Citation Context ...n, a sufficient condition for the identification of the forward-looking parameter β (and also γ if present, as well as the λ’s), using GMM with at least p + 2 lags of xt as instruments, is q > p + 1 (=-=Pesaran 1987-=-, Proposition 6.2). In other words, the forcing variables must have more dynamics than what is already included in the structural model. Another way of putting the above result is that the unique solu... |

80 | Pivotal Statistics for Testing Structural Parameters - Kleibergen - 2002 |

72 | Identi…cation of the long-run and the short-run structure: an application to the ISLM model - Johansen, Juselius - 1994 |

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63 | European Inflation Dynamics - Galí, Gertler, et al. - 2001 |

58 | 2000): "GMM with Weak Identification - Stock, Wright |

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47 | Testing Identifiability and Specification in Instrumental Variable Models,” Econometric Theory 9 - Craigg, Donald - 1993 |

47 | Finite Sample Properties of Some Alternative GMM Estimators - Hansen, and, et al. - 1996 |

47 | Approximating the Distributions of Econometric Estimators and Test Statistics.”In - Rothenberg - 1984 |

43 | Gertler M and D López-Salido (2001), European inflation dynamics - Galí |

42 | Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations - Choi, Phillips - 1992 |

42 | A New Specification Test for the Validity of Instrumental Variables,” Econometrica 70 - Hahn, Hausman - 2002 |

39 | Inferring the Rank of a Matrix - Cragg, Donald - 1997 |

39 | Exact Small Sample Theory in the Simultaneous Equations Models - Phillips - 1983 |

20 | The Asymptotic Properties of Estimates of the Parameters of a Single equation in a Complete System of Stochastic Equations - Anderson, Rubin - 1950 |

13 |
Partially Identified Econometric Modells
- Phillips
- 1989
(Show Context)
Citation Context ...matrix of dimension p: (µ ′ T µT ) = T Σ −1/2 vv Π ′ ΣZZ ΠΣ −1/2′ vv . (12) Thus, partial identification arises whenever rank(µ) = rank(Π) < p, or equivalently, when some of its eigenvalues are zero (=-=Phillips 1989-=-). Moreover, the eigenvectors corresponding to the non-zero eigenvalues give the linear combinations of the structural parameters that are identified, see examples below. Similarly, weak identificatio... |

10 |
Rational expectations econometrics
- Hansen, Sargent
- 1991
(Show Context)
Citation Context ...hogonal part ɛt is referred to as a ‘sunspot shock’. This shock cannot, in general, be identified without strong assumptions, such as the requirement that the rational expectations model be “exact”, (=-=Hansen and Sargent 1991-=-). 6 Pesaran (1987, pp. 143-144). 13Using the instruments (st, st−1, πt−1), the first-stage regression for the endogenous regressor πt+1 is: πt+1 = 1 β 2 πt−1 − λ β st − λ β 2 st−1 + vt with vt = ξt+... |

10 | Econometric Issues in Forward-Looking Monetary Models,” DPhil thesis - Mavroeidis - 2002 |

8 |
Pesaran, “Multivariate Rational Expectations Models and Macroeconometric Modeling: A Review and Some New Results,” Handbook of Applied Econometrics, edited by
- Binder, Hashem
- 1995
(Show Context)
Citation Context ...s et. Concerning the information set, we follow the convention in the literature and assume that it includes at least all contemporaneous and past information on the endogenous and forcing variables (=-=Binder and Pesaran 1995-=-). 4 See Mavroeidis (2002) for some relevant asymptotic theory and extensive Monte Carlo evidence. 12The conditions for existence and uniqueness of non-explosive solutions to rational expectations mo... |

7 | Inflaction dynamics and the labour share - Batini, Jackson, et al. - 2000 |

7 | Identification and Misspecification Issues in Forward Looking Monetary Models - Mavroeidis - 2004 |

6 | GMM, weak instruments, and weak identification - Stock, Wright, et al. - 2002 |

4 |
Asymptotic Expansions of the Distributions of Estimates in Simultaneous Equations for Alternative Parameter Sequences
- ANDERSON
- 1977
(Show Context)
Citation Context ...(0, I2k), zv (Z′ Z) −1/2Z ′ v/σv and their linear combination zu = (Z′ Z) −1/2Z ′ √ u/σu = ze 1 − ρ2 + zvρ. Also, let µT = (Z ′ Z) 1/2 Π/σv. (8) This quantity is known as the concentration parameter (=-=Anderson 1977-=-). Then, dropping the subscript of µT for simplicity, the IV estimator (6) in the one-parameter case can be written as: ̂θIV − θ0 = (zv + µ) ′ zu σu/σv (zv + µ) ′ (zv + µ) = (zv + µ) ′ (ze σu.v σv + z... |

2 | Identification and mis-specification in forward-looking models. Working paper - Mavroeidis - 2003 |

2 | The limits to Rational Expectations - H - 1987 |

1 | Monetary policy rules in practice: international evidence. European Economic Review 42, 1033–67 - Clarida, Galí, et al. - 1998 |