Instrumental variable estimation of a nonlinear Taylor rule |
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| Authors: | Zisimos Koustas Jean-Fran?ois Lamarche |
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| Institution: | (1) Department of Economics, Faculty of Economics and Administrative Sciences, Uludag University, 16059 Bursa, Turkey;(2) Department of Econometrics, Faculty of Economics and Administrative Sciences, Uludag University, 16059 Bursa, Turkey |
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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. |
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