Bertille Antoine, Otilia Boldea, Niccolo Zaccaria
arXiv 24 Jun 2024 · Econometrics · 2 citations (OpenAlex)
arXiv:2406.17056 · PDF · DOI · OpenAlex · Extracted main text
We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient two-sample GMM estimators than the standard split-sample GMM, even in the presence of near-weak instruments. We also propose two tests to detect change points in the parameters of interest, depending on whether the first-stage is common or not. We derive the limiting distribution of these tests and show that they have non-trivial power even under weaker and possibly time-varying identification patterns. The finite sample properties of our proposed estimators and testing procedures are illustrated in a series of Monte-Carlo experiments, and in an application to the open-economy New Keynesian Phillips curve. Our empirical analysis using US data provides strong support for a New Keynesian Phillips curve with incomplete pass-through and reveals important time variation in the relationship between inflation and exchange rate pass-through.
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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 | Ramey, V. A. and S. Zubairy (2018) Government spending multipliers in good times and in bad: Evidence from U.S. historical data | 1.000 | 7 | 3 | 100% |
| 2 | Angrist, J. D. and A. B. Krueger (1992) The effect of age at school entry on educational attainment: an application of instrumental variables with moments from two samp… | 1.000 | 5 | 3 | 100% |
| 3 | Inoue, A. and G. Solon (2010) Two-sample instrumental variables estimators | 1.000 | 5 | 3 | 100% |
| 4 | Hall, A. R., S. Han, and O. Boldea (2012) Inference regarding multiple structural changes in linear models with endogenous regressors | 0.941 | 18 | 7 | 83% |
| 5 | Abbas, S. K (2023) The New Keynesian Phillips Curve and Imperfect Exchange Rate Pass-Through | 0.928 | 4 | 3 | 100% |
| 6 | Antoine, B. and O. Boldea (2018) Efficient estimation with time-varying information and the New Keynesian Phillips Curve self | 0.874 | 5 | 2 | 100% |
| 7 | Bai, J. and P. Perron (2003) Computation and analysis of multiple structural change models | 0.737 | 5 | 3 | 40% |
| 8 | Alpanda, S., E. Granziera, and S. Zubairy (2021) State dependence of monetary policy across business, credit and interest rate cycles | 0.644 | 2 | 2 | 100% |
| 9 | Magnusson, L. and S. Mavroeidis (2014) Identification using stability restrictions | 0.644 | 2 | 2 | 100% |
| 10 | Inoue, A., B. Rossi, and Y. Wang (2024) Has the Phillips curve flattened? | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 49 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2403.08753 | 0.644 | 2 | 2 |