Two-step two-stage least squares estimation in models with rational expectations

DOI10.1016/0304-4076(83)90049-0MaRDI QIDQ1838019zbMATH OpenOpenAlexFDO

Authors Robert E. Cumby, John Huizinga, Maurice Obstfeld

Publication date 1983

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/t0011.pdf

zbMATH Keywords

autocorrelated residualserror-in-variables-modelinstrumental-variables estimatorslimited information estimatorsmoving average processrational expectationsrational- expectations macroeconomic model of United Statestwo-step two-stage least squares estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Analysis of Regressions Containing Serially Correlated and Serially Uncorrelated Error Components
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Central limit theorems for time series regression
• Consistent autoregressive spectral estimates
• Econometric Implications of the Rational Expectations Hypothesis
• Estimation and Control of a Macroeconomic Model with Rational Expectations
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• scientific article; zbMATH DE number 3464631 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3550024 (Why is no real title available?)
• Instrumental Variables Regression with Independent Observations
• Large Sample Properties of Generalized Method of Moments Estimators
• On the structure of moving average processes
• Specification Tests in Econometrics
• The Efficient Estimation of Econometric Models with Rational Expectations
• The Estimation of Partial Adjustment Models with Rational Expectations
• The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors
• The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model
• The nonlinear two-stage least-squares estimator

Cited in

(9)

• Generalized method of moments specification testing
• On estimation and testing when explanatory variables are partly endogenous
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• The identification of liquidity effects in the EMS: Italy 1991-1992
• Estimating Expected Exchange Rates Under Target Zone Regimes
• A comparison of LS/ML and GMM estimation in a simple AR(1) model
• Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Econometric tests of rationality and market efficiency

This page was built for publication: Two-step two-stage least squares estimation in models with rational expectations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1838019)