A comment on 'on inflation expectations in the NKPC model'

Show full item record




Lanne , M & Luoto , J P 2019 , ' A comment on 'on inflation expectations in the NKPC model' ' , Empirical Economics , vol. 57 , no. 6 , pp. 1865-1867 . https://doi.org/10.1007/s00181-018-1582-9

Title: A comment on 'on inflation expectations in the NKPC model'
Author: Lanne, Markku; Luoto, Jani Pentti
Contributor: University of Helsinki, Faculty of Social Sciences
University of Helsinki, Academic Disciplines of the Faculty of Social Sciences
Date: 2019-12
Language: eng
Number of pages: 3
Belongs to series: Empirical Economics
ISSN: 0377-7332
URI: http://hdl.handle.net/10138/306928
Abstract: Franses (Empir Econ, 2018. ) criticised the practice in the empirical literature of replacing expected inflation by the sum of realised future inflation and an error in estimating the parameters of the new Keynesian Phillips curve (NKPC). In particular, he argued that this assumption goes against the Wold decomposition theorem and makes the error term in the hybrid NKPC equation correlated with future inflation, invalidating the maximum likelihood (ML) estimator of Lanne and Luoto (J Econ Dyn Control 37:561-570, 2013). We argue that despite the correlation, the Wold theorem is not violated, and the ML estimator is consistent.
Subject: 511 Economics

Files in this item

Total number of downloads: Loading...

Files Size Format View
Lanne_Luoto2019 ... OnOnInflationExpectati.pdf 226.6Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record