Weak instruments and estimated monetary policy rules
Tài liệu tham khảo
Anderson, 1949, Estimation of the parameters of a single equation in a complete system of stochastic equations, Ann. Math. Stat., 20, 46, 10.1214/aoms/1177730090
Bai, 2009, Selecting instrumental variables in a data rich environment, J. Time Ser. Econom., 1, 1
Bai, 2010, Instrumental variable estimation in a data rich environment, Econom. Theory, 26, 1577, 10.1017/S0266466609990727
Bayar, 2014, Temporal aggregation and estimated monetary policy rules, B.E. J. Macroeconom. Contributions, 14, 553
Bayar, 2015, An ordered probit analysis of monetary policy inertia, B.E. J. Macroeconom. Contributions, 15, 705
Bernanke, 2003, Monetary policy in a data-rich environment, J. Monet. Econ., 50, 525, 10.1016/S0304-3932(03)00024-2
Blinder, 1986, More on the speed of adjustment in inventory models, J. Money Credit Bank., 18, 355, 10.2307/1992386
Bontempi, 2015, Implementing a strategy to reduce the instrument count in panel GMM, Stata J., 15, 1075, 10.1177/1536867X1501500408
Canova, 2009, Back to square one: identification issues in DSGE models, J. Monet. Econ., 56, 431, 10.1016/j.jmoneco.2009.03.014
Choi, 1999, Estimating the discount rate policy reaction function of the monetary authority, J. Appl. Econom., 14, 379, 10.1002/(SICI)1099-1255(199907/08)14:4<379::AID-JAE516>3.0.CO;2-2
Clarida, 2000, Monetary policy rules and macroeconomic stability: evidence and some theory, Q. J. Econ., 115, 147, 10.1162/003355300554692
Coibion, 2012, Why are target interest rate changes so persistent?, Am. Econ. J. Macroeconom., 4, 126, 10.1257/mac.4.4.126
Consolo, 2009, Monetary policy inertia: more a fiction than a fact?, J. Monet. Econom., 49, 1161
Cragg, 1993, Testing identifiability and specification in instrumental variable models, Econom. Theory, 9, 222, 10.1017/S0266466600007519
Dueker, 1999, Measuring monetary policy inertia in target fed funds rate changes, Fed. Reserv. Bank St. Louis Rev., 81, 3
Dufour, 2003, Identification, weak instruments, and statistical inference in econometrics, Can. J. Econ., 36, 767, 10.1111/1540-5982.t01-3-00001
Dufour, 2009, Comment on weak instrument robust tests in GMM and the New Keynesian Phillips Curve, J. Bus. Econ. Stat., 27, 318, 10.1198/jbes.2009.08283
Dufour, 2007, Further results on projection-based inference in IV regressions with weak, collinear, or missing instruments, J. Econom., 139, 133, 10.1016/j.jeconom.2006.06.008
Dufour, 2006, Inflation dynamics and the new keynesian phillips curve: an identification robust econometric analysis, J. Econ. Dyn. Control, 30, 1707, 10.1016/j.jedc.2005.08.013
Dufour, 2013, Identification-robust analysis of DSGE and structural macroeconomic models, J. Monet. Econ., 6, 340, 10.1016/j.jmoneco.2013.02.001
English, 2003, Interpreting the significance of the lagged interest rate in estimated monetary policy rules, B.E. J. Macroecon. Contributions, 3, 1
Favero, 2005, Principal components at work: the empirical analysis of monetary policy with large data sets, J. Appl. Econom., 20, 603, 10.1002/jae.815
Gerlach-Kristen, 2004, Interest-rate smoothing: monetary policy inertia or unobserved variables?, B.E. J. Macroecon. Contributions, 4, 1
Goodfriend, 1991, Interest rates and the conduct of monetary policy, Carnegie-Rochester Conf. Ser. Public Policy, 34, 7, 10.1016/0167-2231(91)90002-M
Inoue, 2011, Identifying the sources of instabilities in macroeconomic fluctuations, Rev. Econ. Stat., 93, 1186, 10.1162/REST_a_00130
Jolliffe, 2002
Kleibergen, 2002, Pivotal statistics for testing structural parameters in instrumental variables regression, Econometrica, 70, 1781, 10.1111/1468-0262.00353
Kleibergen, 2005, Testing parameters in GMM without assuming that they are identified, Econometrica, 73, 1103, 10.1111/j.1468-0262.2005.00610.x
Kleibergen, 2006, Generalized reduced rank tests using the singular value decomposition, J. Econom., 133, 97, 10.1016/j.jeconom.2005.02.011
Kleibergen, 2009, Weak instrument robust tests in GMM and the New Keynesian Phillips Curve, J. Bus. Econ. Stat., 27, 293, 10.1198/jbes.2009.08280
Lubik, 2004, Testing for indeterminacy: an application to U.S. monetary policy, Am. Econ. Rev., 94, 190, 10.1257/000282804322970760
Mavroeidis, 2004, Weak identification of forward-looking models in monetary economics, Oxford Bull. Econ. Stat., 66, 609, 10.1111/j.1468-0084.2004.00095.x
Mavroeidis, 2010, Monetary policy rules and macroeconomic stability: some new evidence, Am. Econ. Rev., 100, 491, 10.1257/aer.100.1.491
Mirza, 2014, Making weak instrument sets stronger: factor-based estimation of inflation dynamics and a monetary policy rule, J. Money Credit Bank., 46, 643, 10.1111/jmcb.12120
Moreira, 2003, A conditional likelihood ratio test for structural models, Econometrica, 71, 1027, 10.1111/1468-0262.00438
Nason, 2008, Identifying the New Keynesian Phillips Curve, J. Appl. Econ., 23, 525, 10.1002/jae.1011
Orphanides, 2001, Monetary policy rules based on real-time data, Am. Econ. Rev., 91, 964, 10.1257/aer.91.4.964
Orphanides, 2004, Monetary policy rules, macroeconomic stability, and inflation: a view from the trenches, J. Money Credit Bank., 36, 151, 10.1353/mcb.2004.0013
Roodman, 2009, A note on the theme of too many instruments, Oxford Bull. Econ. Stat., 71, 135, 10.1111/j.1468-0084.2008.00542.x
Rudebusch, 2002, Term structure evidence on interest rate smoothing and monetary policy inertia, J. Monet. Econ., 49, 1161, 10.1016/S0304-3932(02)00149-6
Rudebusch, 2006, Monetary policy inertia: fact or fiction, Int. J. Cent. Bank., 2, 85
Rudebusch, 2008, A macro-finance model of the term structure, monetary policy and the economy, Econ. J., 118, 906, 10.1111/j.1468-0297.2008.02155.x
Sack, 2000, Does the fed act gradually? A VAR analysis, J. Monet. Econ., 46, 229, 10.1016/S0304-3932(00)00019-2
Sack, 2000, Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence, J. Econ. Bus., 52, 205, 10.1016/S0148-6195(99)00030-2
Staiger, 1997, Instrumental variables regression with weak instruments, Econometrica, 65, 557, 10.2307/2171753
Stock, 2000, GMM with weak identification, Econometrica, 68, 1055, 10.1111/1468-0262.00151
Stock, 2005
Stock, 2002, A survey of weak instruments and weak identification in generalized method of moments, J. Bus. Econ. Stat., 20, 518, 10.1198/073500102288618658
Wang, 1998, Inference on structural parameters in instrumental variables regression with weak instruments, Econometrica, 66, 1389, 10.2307/2999621
Woodford, 2003, Optimal interest rate smoothing, Rev. Econ. Stud., 70, 861, 10.1111/1467-937X.00270
Wooldridge, 2002