Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve
讨论GMM中针对全参数或子集假设的弱工具变量稳健检验，并用这些方法重新检验新凯恩斯菲利普斯曲线模型，发现美国战后数据支持通胀前瞻性主导，但后顾性不可忽略，且曲线近期变平导致弱识别。
We discuss weak instrument robust statistics in GMM for testing hypotheses on the full parameter vector or on subsets of the parameters. We use these test procedures to reexamine the evidence on the new Keynesian Phillips curve model. We find that U.S. postwar data are consistent with the view that inflation dynamics are predominantly forward-looking, but we cannot rule out the presence of considerable backward-looking dynamics. Moreover, the Phillips curve has become flatter recently, and this is an important factor contributing to its weak identification.