Does a trivial econometric error explain why Andersson and Jonung get different results?

Does a trivial econometric error explain why Andersson and Jonung (2014) get different
estimates of a Swedish Phillips curve than the very robust estimates that I get in Svensson
(2014, 2015)? Yes, their trivial error is not to have done the standard test for weak
instruments when using regressions with instrumental variables. Their instruments soundly
fail the standard Cragg-Donald F-test. Their instruments are weak and as a consequence their
estimates of the Phillips curve are unreliable, not mine. See this note.

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Lars Jonung and the truth

Update November 20, 2104:                                                    English translation of new Ekonomistas post.
A closer look reveals that the different results of Anderson and Jonung are due to a trivial econometric error.

Lars Jonung has repeatedly in Swedish media in sweeping terms criticized my estimate of the increase in average unemployment caused by the fact that average inflation in Sweden significantly undershot the target during 1997-2011. Every time I have replied and shown and pointed out that he is wrong on all counts, lately in this Ekonomistas post (in Swedish) and in Svenska Dagbladet (also in Swedish). Now, Fredrik Andersson and Jonung have written a long paper with a series of regressions which are supposed to show that my results are not robust. The idea of Andersson and Jonung is, despite the common practice in similar studies and despite econometric problems with overlapping data, to use annual inflation instead of quarterly inflation. However, on closer inspection, their regressions turn out to be misspecified and not reliable. When I examine corrected versions and run new regressions with annual inflation, they confirm my previous estimate. Again it seems that Jonung is wrong on all counts. Continue reading

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Revealing interview with Riksbank Deputy Governor Karolina Ekholm about Riksbank inflation forecasts

In a detailed interview with the News Agency Direkt, then Riksbank Deputy Governor Karolina Ekholm reveals how the Riksbank’s judgmental adjustments of the model forecasts have given the Riksbank’s inflation forecasts an upward bias. She also points out that I warned about this upward bias and explicitly entered reservations about the inflation forecast from december 2012. It was thus not a secret at the Riksbank that there were problems with the forecast.  Continue reading

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