Misspecification and Weak Identification in Forward-Looking Macroeconomic Models
SeriesResearch Master Defense
Speaker(s)Haobai Guo , Haobai Guo
LocationTinbergen Institute Amsterdam, room 1.60
Date and time
August 22, 2023
12:00 - 13:30
We show that the identification of parameters in both the linear IV model and NKPC is determined by the strengths of both identification and misspecification. We discuss why weak identification and misspecification are highly relevant to the NKPC models. We demonstrate that conventional inference methods, including weak identification robust inference procedures, are inapplicable when the model is misspecified. We therefore recommend the use of an inference method that is robust to both misspecification and weak identification.