Empirical Economics

, Volume 42, Issue 1, pp 1–20

Instrumental variable estimation of a nonlinear Taylor rule

Article

DOI: 10.1007/s00181-010-0411-6

Cite this article as:
Koustas, Z. & Lamarche, J. Empir Econ (2012) 42: 1. doi:10.1007/s00181-010-0411-6
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Abstract

This article studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We apply this methodology to a forward-looking Taylor rule, where nonlinearity is introduced via inflation thresholds.

Keywords

ThresholdsNonlinear modelsInstrumental variablesTaylor rule

JEL Classification

C22C12C13C87E58

Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.Department of EconomicsBrock UniversitySt. CatharinesCanada