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Uncertainty Surrounding The U.S. NAIRU Estimates Of Estrella And Mishkin(1999)

Author

Listed:
  • Charles Harvie

    (University of Wollongong)

  • Hyeon-Seung Huh

    (Yonsei University)

Abstract

Estrella and Mishkin(1999) propose a promising method to estimate the NAIRU for the U.S. However, their uncertainty measure of the NAIRU estimates is problematic, as the underlying assumption of normality is violated. We apply the block bootstrap techniques to offer a better measure of precision. One implication is that their method underestimates the true uncertainty surrounding the NAIRU estimates.

Suggested Citation

  • Charles Harvie & Hyeon-Seung Huh, 2007. "Uncertainty Surrounding The U.S. NAIRU Estimates Of Estrella And Mishkin(1999)," Korean Economic Review, Korean Economic Association, vol. 23, pages 49-63.
    • Handle: RePEc:kea:keappr:ker-200706-23-1-03
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    References listed on IDEAS

    as
    1. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
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    3. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
    4. Laurence Ball & N. Gregory Mankiw, 1995. "Relative-Price Changes as Aggregate Supply Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(1), pages 161-193.
    5. Thomas Laubach, 2001. "Measuring The NAIRU: Evidence From Seven Economies," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 218-231, May.
    6. Douglas O. Staiger & James H. Stock & Mark W. Watson, 1997. "How Precise Are Estimates of the Natural Rate of Unemployment?," NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 195-246, National Bureau of Economic Research, Inc.
    7. Hongyi Li & G. S. Maddala, 1999. "Bootstrap Variance Estimation Of Nonlinear Functions Of Parameters: An Application To Long-Run Elasticities Of Energy Demand," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 728-733, November.
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    More about this item

    Keywords

    NAIRU; Uncertainty; Fat tails; Block bootstrap;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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