Examining bias in estimators of linear rational expectations models under misspecification

DOI10.1016/J.JECONOM.2007.11.004MaRDI QIDQ291126zbMATH OpenOpenAlexFDO

Authors Hervé Le Bihan, Eric Jondeau

Publication date 6 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2007.11.004

zbMATH Keywords

ML estimatorGMM estimatorrational expectations modelspecification bias

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20)

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• scientific article; zbMATH DE number 3923929

Cites work

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Cited in

(4)

• Estimating and testing rational expectations models when the trend specification is uncertain.
• Assessing large sample bias in misspecified model scenarios with reference to exposure model misspecification in errors-in-variable regression: a new computational approach
• A direction of bias result for the standard errors of a sequential least squares single equation rational expectations estimator
• Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

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