Empirical Economics

, Volume 42, Issue 1, pp 1–20 | Cite as

Instrumental variable estimation of a nonlinear Taylor rule

  • Zisimos Koustas
  • Jean-François LamarcheEmail author


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.


Thresholds Nonlinear models Instrumental variables Taylor rule 

JEL Classification

C22 C12 C13 C87 E58 


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Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.Department of EconomicsBrock UniversitySt. CatharinesCanada

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