Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80182
Authors: 
Mavroeidis, Sophocles
Year of Publication: 
2006
Series/Report no.: 
Working Paper, Brown University, Department of Economics 2006-13
Abstract: 
We re-examine the evidence on the new Phillips curve model of Gali and Gertler (Journal of Monetary Economics 1999) using the conditional score test of Kleibergen (Econometrica 2005), which is robust to weak identification. In contrast to earlier studies, we find that US postwar data are consistent both with the view that inflation dynamics are forward-looking, and with the opposite view that they are predominantly backward-looking. Moreover, the labor share does not appear to be a relevant determinant of inflation. We show that this is an important factor contributing to the weak identification of the Phillips curve.
Subjects: 
Weak instruments
Rational Expectations
GMM
robust inference
JEL: 
C22
E31
Document Type: 
Working Paper

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