Table 5: Structural Estimates
- alternative normalization of the orthogonality conditions -
1960:1 - 1979:2 1982:4 2003:2 | |
c1 |
0.79* 3.64** (0.08) (0.77) |
c2 |
1.11** 1.08** (0.06) (0.03) |
c3 |
0.01 0.53 (0.02) (0.40) |
c4 |
-0.17** -0.04 (0.01) (0.05) |
ρ |
0.65** 0.90** (0.02) (0.02) |
i* |
5.4 6.0 |
π* |
4.1 2.5 |
α |
0.03 0.29 (0.04) (0.22) |
γ |
-0.31** -0.06 (0.02) (0.10) |
t-type statistics W(2) p-value J(19) p-value |
.000 .000 .000 .423 __________.949_____________________________.876______________ |
Specification:
E,-11- μ i - i * )+(1- ρ )( λ (πt -π )+y,+αλ (πt -π * )2+^2 y2}+pρi,—1 - i * ) zt-11=0
Notes: This table reports the nonlinear GMM estimates of the structural parameters α and
γ. The estimates of the reduced-form coefficients are recovered from the estimates of the
structural parameters while the standard errors are computed using the delta method.
Inflation, output gap and the instrument set zt-1 correspond to the baseline measures
described in the notes to Table 1. The t-type test refers to the null hypothesis (μZλφ) =0.
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 α=γ=0. 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.
26
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