Open AccessInstrumental variable estimation of a nonlinear Taylor rule
Author(s) -
Zisimos Koustas,
Jean-François Lamarche
Publication year - 2010
Publication title -
empirical economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.605
H-Index - 56
eISSN - 1435-8921
pISSN - 0377-7332
DOI - 10.1007/s00181-010-0411-6
Subject(s) - instrumental variable , nonlinear system , estimation , taylor series , inflation (cosmology) , econometrics , series (stratigraphy) , variable (mathematics) , mathematics , taylor rule , economics , computer science , monetary policy , keynesian economics , mathematical analysis , quantum mechanics , paleontology , physics , management , central bank , theoretical physics , biology
This article studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We apply this methodology to a forward-looking Taylor rule, where nonlinearity is introduced via inflation thresholds.
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