Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/53860
Authors: 
Dufour, Jean-Marie
Khalaf, Lynda
Kichian, Maral
Year of Publication: 
2009
Series/Report no.: 
Bank of Canada Working Paper 2009,7
Abstract: 
Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms. Point and confidence-set parameter estimates are obtained based on the inversion of identification-robust test statistics. Focus is maintained on the structural aspect of the model with formal imposition of the restrictions that map the theoretical model into the econometric one. The results show that there is some statistical merit to using indexationbased Calvo-type models for inflation. However, some identification difficulties are also uncovered with considerable uncertainty associated with estimated parameter values. In particular, we find that implausibly-high frequency of price re-optimization values cannot be ruled out from our identification-robust confidence sets.
Subjects: 
Inflation and prices
Econometric and statistical methods
JEL: 
C13
C52
E31
Document Type: 
Working Paper

Files in This Item:
File
Size
172.67 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.