Table 3: Reduced-form Estimates
- alternative measure of output gap -
1960:1 -1979:2 |
1982:4 2003:2 | |
c1 |
0.67** |
2.63** |
(0.09) |
(0.34) | |
c2 |
1.45** |
2.17** |
(0.31) |
(0.35) | |
c3 |
-0.02 |
0.07 |
(0.02) |
(0.18) | |
c4 |
-0.17** |
-0.19 |
(0.04) |
(0.10) | |
ρ |
0.72** |
0.83** |
(0.05) |
(0.02) | |
i* |
5.4 |
6.0 |
π* |
4.1 |
2.9 |
α |
-0.06 |
0.06 |
(0.04) |
(0.13) | |
γ |
-0.25** |
-0.18 |
(0.07) |
(0.095) | |
W(2) p-value |
.00 0 |
.16 1 |
F-stat p-value |
.00/.00 |
.00/.00 |
J(19) p-value_______ |
________.969______________ |
_______________.895_______________ |
Specification: it = (1 - ρ)i* +c1 (πt - π ) + c2yt + c3 (πt - π )2 + c4y2 ] + ρt-1 + νt
Notes: Standard errors using a four lag Newey-West covariance matrix are reported in
brackets. Inflation is measured as changes in the personal consumption deflator and the
output gap is obtained with the Hodrick-Prescott filter (smoothing parameter = 1600).
The instrument set includes four lags of inflation, squared inflation, output gap, squared
output gap, the fed funds rate and gdp inflation. The asymmetric preference parameters
are computed as α=2c3Zc1 and γ=2c√c2 while the standard errors are obtained using the
delta method. W(n) refers to the Wald statistics of the test for n parameter restrictions,
which is distributed as a χ2(n) under the joint null hypothesis c3=c4=0. The latter is
equivalent to the original null of symmetric central bank preferences, α=γ=0. F-stat
refers to the statistics of the hypothesis testing for weak instruments relative to
inflation and output gap, respectively. J(m) refers to the statistics of Hansen’s test for m
overidentifying restrictions which is distributed as a χ2(m) under the null hypothesis of
valid overidentifying restrictions. The superscript ** and * denote the rejection of the
null hypothesis that the true coefficient is zero at the 1 percent and 5 percent significance
levels, respectively.
24
More intriguing information
1. The name is absent2. MATHEMATICS AS AN EXACT AND PRECISE LANGUAGE OF NATURE
3. Demographic Features, Beliefs And Socio-Psychological Impact Of Acne Vulgaris Among Its Sufferers In Two Towns In Nigeria
4. Effects of a Sport Education Intervention on Students’ Motivational Responses in Physical Education
5. THE CHANGING RELATIONSHIP BETWEEN FEDERAL, STATE AND LOCAL GOVERNMENTS
6. The name is absent
7. Behavioural Characteristics and Financial Distress
8. PER UNIT COSTS TO OWN AND OPERATE FARM MACHINERY
9. The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data
10. Motivations, Values and Emotions: Three Sides of the same Coin