Misspecification Testing: Non-Invariance of Expectations Models of Inflation
研究了数据过程发生结构性突变时，包含未来预期值的经济模型（如新凯恩斯菲利普斯曲线）的估计问题，并提出一种脉冲指示变量饱和检验方法，应用于美国和欧元区的数据。
Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables (IV) or Generalized Method of Moments (GMM). Although crises, breaks, and regime shifts are relatively common, the underlying theory does not allow for their occurrence. We show the consequences for such models of breaks in data processes, and propose an impulse-indicator saturation test of such specifications, applied to USA and Euro-area NKPCs.