Home | Events Archive | Misspecification and Weak Identification in Forward-Looking Macroeconomic Models
Research Master Pre-Defense

Misspecification and Weak Identification in Forward-Looking Macroeconomic Models

  • Series
    Research Master Defense
  • Speaker(s)
    Haobai Guo , Haobai Guo
  • Field
    Macroeconomics
  • Location
    Tinbergen Institute Amsterdam, room 1.60
    Amsterdam
  • 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.