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A method for estimating the timing interval in a linear econometric model, with an application to Taylor's model of staggered contracts

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  • Lawrence J. Christiano

Abstract

This paper describes and implements a procedure for estimating the timing interval in any linear econometric model. The procedure is applied to Taylor?s model of staggered contracts using annual averaged price and output data. The fit of the version of Taylor?s model with serially uncorrelated disturbances improves as the timing interval of the model is reduced.

Suggested Citation

  • Lawrence J. Christiano, 1985. "A method for estimating the timing interval in a linear econometric model, with an application to Taylor's model of staggered contracts," Staff Report 101, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:101
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    Cited by:

    1. Reiner Franke & Stephen Sacht, 2014. "Some Observations On The High-Frequency Versions Of A Standard New-Keynesian Model," Bulletin of Economic Research, Wiley Blackwell, vol. 66(1), pages 72-94, January.
    2. Peter A. Zadrozny, 1990. "Estimating A Multivariate Arma Model with Mixed-Frequency Data: An Application to Forecasting U.S. GNP at Monthly Intervals," Working Papers 90-5, Center for Economic Studies, U.S. Census Bureau.
    3. Mercenier, Jean & Michel, Philippe, 2001. "Temporal aggregation in a multi-sector economy with endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1179-1191, August.
    4. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
    5. Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
    6. Ben Aissa, Mohamed Safouane & Musy, Olivier & Pereau, Jean-Christophe, 2007. "Modelling inflation persistence with periodicity changes in fixed and predetermined prices models," Economic Modelling, Elsevier, vol. 24(5), pages 823-838, September.
    7. Sacht, Stephen, 2014. "Analysis of various shocks within the high-frequency versions of the baseline New-Keynesian model," Economics Working Papers 2014-02, Christian-Albrechts-University of Kiel, Department of Economics.
    8. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
    9. Taylor, John B., 1999. "Staggered price and wage setting in macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 15, pages 1009-1050, Elsevier.
    10. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum likelihood in the frequency domain: a time to build example," Working Papers (Old Series) 9901, Federal Reserve Bank of Cleveland.
    11. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
    12. Aadland, David, 2001. "High frequency real business cycles," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 271-292, October.
    13. Kasa, Kenneth, 1998. "Optimal policy with limited commitment," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 887-910, June.

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