Instrumental variable estimation of a nonlinear Taylor rule

被引：5

作者：

Koustas, Zisimos ^{[1
]}

Lamarche, Jean-Francois ^{[1
]}

机构：

[1] Brock Univ, Dept Econ, St Catharines, ON L2S 3A1, Canada

来源：

EMPIRICAL ECONOMICS | 2012年 / 42卷 / 01期

关键词：

Thresholds; Nonlinear models; Instrumental variables; Taylor rule; MONETARY-POLICY RULES; GMM; INFLATION; HETEROSKEDASTICITY;

D O I：

10.1007/s00181-010-0411-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article 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.

引用

页码：1 / 20

页数：20

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