On a Standard Method for Measuring the Natural Rate of Interest
论一种衡量自然利率的标准方法
I show that Holston, Laubach and Williams' (2017) implementation of Median Unbiased Estimation (MUE) cannot recover the signal-to-noise ratio of interest from their Stage 2 model. Moreover, their implementation of the structural break regressions which are used as an auxiliary model in MUE deviates from Stock and Watson's (1998) formulation. This leads to spuriously large estimates of the signal-to-noise parameter $λ_{z}$ and thereby an excessive downward trend in other…