Instrumental variable estimation of a nonlinear Taylor rule Authors Zisimos Koustas Department of Economics Brock University Jean-François Lamarche Department of Economics Brock University Article

First Online: 09 October 2010 Received: 01 February 2010 Accepted: 30 June 2010 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
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 Thresholds Nonlinear models Instrumental variables Taylor rule

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