arXiv 23 Jan 2021 · General Economics
arXiv:2101.09543 · PDF · DOI · OpenAlex · Extracted main text
Limited-information inference on New Keynesian Phillips Curves (NKPCs) and other single-equation macroeconomic relations is characterised by weak and high-dimensional instrumental variables (IVs). Beyond the efficiency concerns previously raised in the literature, I show by simulation that ad-hoc selection procedures can lead to substantial biases in post-selection inference. I propose a Sup Score test that remains valid under dependent data, arbitrarily weak identification, and a number of IVs that increases exponentially with the sample size. Conducting inference on a standard NKPC with 359 IVs and 179 observations, I find substantially wider confidence sets than those commonly found.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mirza, Harun, Storjohann, Lidia (2014) Making Weak Instrument Sets Stronger: Factor-Based Estimation of Inflation Dynamics and a Monetary Policy Rule | 1.000 | 9 | 3 | 100% |
| 2 | Mavroeidis, Sophocles, Stock, James (2014) Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve' | 0.920 | 9 | 4 | 78% |
| 3 | Belloni, Alexandre, Chen, Daniel, Chernozhukov, Victor, Hansen, Chri… (2012) Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain | 0.874 | 7 | 2 | 100% |
| 4 | Stock, James, Wright, Jonathan (2000) GMM with Weak Identification | 0.874 | 7 | 2 | 100% |
| 5 | Kleibergen, Frank, Mavroeidis, Sophocles (2009) Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve | 0.843 | 4 | 3 | 75% |
| 6 | Newey, Whitney, West, Kenneth (1987) A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | 0.843 | 3 | 3 | 100% |
| 7 | Kapetanios, George, Khalaf, Lynda, Marcellino, Massimiliano (2015) Factor-Based Identification-Robust Interference in IV Regressions | 0.811 | 4 | 2 | 100% |
| 8 | Galì, Jordi, Gertler, Mark (1999) Inflation dynamics: A structural econometric analysis | 0.737 | 3 | 3 | 67% |
| 9 | Bayar, Omer (2018) Weak instruments and estimated monetary policy rules | 0.737 | 3 | 2 | 100% |
| 10 | Wang, Runmin, Shao, Xiaofeng (2019) Hypothesis Testing for High-Dimensional Time Series Via Self-Normalisation | 0.644 | 3 | 2 | 67% |
Showing the top 10 of 39 scored citations.