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## Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach (2005)

Venue: | Journal of Monetary Economics |

Citations: | 198 - 6 self |

### Citations

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(Show Context)
Citation Context ... 2. 3.3 Estimation with measurement errors In the New-Keynesian Phillips curve (1), yt can be shown to represent deviations in actual output from the “natural rate” of output in some models (see e.g. =-=Rotemberg and Woodford, 1997-=-). This “natural rate” is the level of output that would remain under flexible prices. However, when measuring the output gap, we typically apply an ad hoc detrending procedure — e.g. the HP filter — ... |

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(Show Context)
Citation Context ...ian hybrid Phillips Curve in the model (4) πt = ωfEtπt+1 + ωbπt−1 + γyt + επ,t, (6) and allow επ,t to follow a univariate AR(1)-process, επ,t = ρπεπ,t−1 + uπ,t 13 where we set σεπ = 1.012 (taken from =-=Rudebusch, 2002-=-) and ρπ = 0. Nevertheless, ρπ will be included as a parameter in the FIML estimations.16 The FIML estimation results are presented in Table 5. As in Sections 3.2 and 3.3, results for different values... |

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Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data,
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(Show Context)
Citation Context ... than the limited information methods, even if the model is severely misspecified and the measurement errors are non-normally distributed, which are common arguments against the use of FIML (see e.g. =-=Tauchen, 1986-=-). The last part of the paper estimates a version of the macroeconomic model used in the simulations with FIML on exactly the same dataset as that used in the single equation estimations. Using variou... |

34 | 2000a), “Activist Stabilization Policy and Inflation: The Taylor Rule - Orphanides |

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18 |
Monetary policy shifts and the stability of monetary policy models.
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(Show Context)
Citation Context ...ble parameterization of the monetary policy rule, γπ = 1.50 and γy = 0.50 are chosen (see Taylor, 1993) but some interest rate smoothing is also allowed in the short-run by setting ρ = 0.50 (see e.g. =-=Estrella and Fuhrer 2003-=-, and Clarida, Galí and Gertler, 2000). To obtain values for ρR and σεR , the Fed Funds rate was used as a measure of Rt (yt and πt measured as in the previous section, see notes to Table 1), and the ... |

15 | Maximum likelihood estimation of dynamic stochastic theories with and application to new Keynesian pricing. mimeo, Université du Québec à Montréal - Kurmann - 2003 |

9 | The Role of Sticky Prices in An Open Economy DSGE Model: A Bayesian Investigation - Adolfson, Laséen, et al. - 2005 |

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