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误设下线性理性预期模型估计量的偏差AI 解读

Most rational expectations models involve equations in which the dependent variable is a function of its lags and its expected future value. We investigate the asymptotic bias of generalized method of moment (GMM) and maximum likelihood (ML) estimators in such models under misspecification. We consider several misspecifications, and focus more specifically on the case of omitted dynamics in the dependent variable. In a stylized DGP, we derive analytically the asymptotic…

评估美联储反应函数的广义矩估计AI 解读

Estimating a forward-looking monetary policy rule by the generalized method of moments (GMM) has become a popular approach. We reexamine estimates of the Federal Reserve reaction function using several GMM estimators and a maximum likelihood (ML) estimator. First, we show that over the baseline period 1979–2000, these alternative approaches yield substantially different parameter estimates. Using Monte Carlo simulations, we show that the finite-sample GMM bias can account…

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