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A comment on ‘on inflation expectations in the NKPC model’

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A comment on ‘on inflation expectations in the NKPC model’. / Lanne, Markku; Luoto, Jani.

In: Empirical Economics, Vol. 57, No. 6, 01.12.2019, p. 1865-1867.

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Lanne, M & Luoto, J 2019, 'A comment on ‘on inflation expectations in the NKPC model’', Empirical Economics, vol. 57, no. 6, pp. 1865-1867. https://doi.org/10.1007/s00181-018-1582-9

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Lanne, Markku ; Luoto, Jani. / A comment on ‘on inflation expectations in the NKPC model’. In: Empirical Economics. 2019 ; Vol. 57, No. 6. pp. 1865-1867.

Bibtex

@article{c6e3405271344e018f5ab0b8e529424b,
title = "A comment on {\textquoteleft}on inflation expectations in the NKPC model{\textquoteright}",
abstract = "Franses (Empir Econ, 2018. https://doi.org/10.1007/s00181-018-1417-8) criticised the practice in the empirical literature of replacing expected inflation by the sum of realised future inflation and an error in estimating the parameters of the new Keynesian Phillips curve (NKPC). In particular, he argued that this assumption goes against the Wold decomposition theorem and makes the error term in the hybrid NKPC equation correlated with future inflation, invalidating the maximum likelihood (ML) estimator of Lanne and Luoto (J Econ Dyn Control 37:561–570, 2013). We argue that despite the correlation, the Wold theorem is not violated, and the ML estimator is consistent.",
keywords = "Inflation, New Keynesian Phillips curve, Non-causal time series, Non-Gaussian time series",
author = "Markku Lanne and Jani Luoto",
year = "2019",
month = dec,
day = "1",
doi = "10.1007/s00181-018-1582-9",
language = "English",
volume = "57",
pages = "1865--1867",
journal = "Empirical Economics",
issn = "0377-7332",
publisher = "Springer",
number = "6",

}

RIS

TY - JOUR

T1 - A comment on ‘on inflation expectations in the NKPC model’

AU - Lanne, Markku

AU - Luoto, Jani

PY - 2019/12/1

Y1 - 2019/12/1

N2 - Franses (Empir Econ, 2018. https://doi.org/10.1007/s00181-018-1417-8) criticised the practice in the empirical literature of replacing expected inflation by the sum of realised future inflation and an error in estimating the parameters of the new Keynesian Phillips curve (NKPC). In particular, he argued that this assumption goes against the Wold decomposition theorem and makes the error term in the hybrid NKPC equation correlated with future inflation, invalidating the maximum likelihood (ML) estimator of Lanne and Luoto (J Econ Dyn Control 37:561–570, 2013). We argue that despite the correlation, the Wold theorem is not violated, and the ML estimator is consistent.

AB - Franses (Empir Econ, 2018. https://doi.org/10.1007/s00181-018-1417-8) criticised the practice in the empirical literature of replacing expected inflation by the sum of realised future inflation and an error in estimating the parameters of the new Keynesian Phillips curve (NKPC). In particular, he argued that this assumption goes against the Wold decomposition theorem and makes the error term in the hybrid NKPC equation correlated with future inflation, invalidating the maximum likelihood (ML) estimator of Lanne and Luoto (J Econ Dyn Control 37:561–570, 2013). We argue that despite the correlation, the Wold theorem is not violated, and the ML estimator is consistent.

KW - Inflation

KW - New Keynesian Phillips curve

KW - Non-causal time series

KW - Non-Gaussian time series

UR - http://www.scopus.com/inward/record.url?scp=85055732594&partnerID=8YFLogxK

U2 - 10.1007/s00181-018-1582-9

DO - 10.1007/s00181-018-1582-9

M3 - Journal article

AN - SCOPUS:85055732594

VL - 57

SP - 1865

EP - 1867

JO - Empirical Economics

JF - Empirical Economics

SN - 0377-7332

IS - 6

ER -