Two Stage and Related Estimators and Their Applications
DOI10.2307/2297604zbMATH Open0632.62111MaRDI QIDQ3769832FDOQ3769832
Authors: Adrian Pagan 
Publication date: 1986
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0741.pdf
Recommendations
diagnostic testsserial correlationcensoringconsistencytime seriesefficiencymisspecificationexpectationsunified treatmenttwo stage estimatorscorrect inferences
Linear inference, regression (62J99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
Cited In (44)
- Double kernel nonparametric estimation in semlparametric econometric models
- Realized Volatility: A Review
- Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
- Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
- Price collusion and deregulation in the Japanese retail gasoline market
- Two‐Stage Least Squares Analysis of Hierarchical Linear Models
- Tests for serial correlation and overdispersion in a count data regression model∗
- Estimation of a linear regression model with stationary ARMA (p,q) errors
- Tests of equal accuracy for nested models with estimated factors
- Two-stage point estimation with a shrinkage stopping rule
- Standard error correction in two‐stage estimation with nested samples
- Title not available (Why is that?)
- Regime switching for dynamic correlations
- On the robustness of two-stage estimators
- Title not available (Why is that?)
- Two stage conditionally unbiased estimators of the selected mean
- When are two step estimators efficient?
- Concentration ellipsoids, their planes of support, and the linear regression model
- A simplified approach to M-estimation with application to two-stage estimators
- Exclusion restrictions in instrumental variables equations
- Two-stage Huber estimation
- Identifying and estimating efficient markets models with contemporaneous instruments
- Optimality of two-stage estimator in panel models under mean squared error criterion
- On improving the robustness and reliability of Rao's score test
- Econometric Issues in the Analysis of Regressions with Generated Regressors
- Sequential estimation of shape parameters in multivariate dynamic models
- The impact of general non-parametric volatility functions in multivariate GARCH models
- Recursions for the two-stage least-squares estimators
- Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
- Title not available (Why is that?)
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Efficient two-step estimation via targeting
- Title not available (Why is that?)
- Computation of the GLS estimator of a model with anticipated and unanticipated effects
- Two-step series estimation and specification testing of (partially) linear models with generated regressors
- Recursive estimation and generated regressors
- Properties of ordinary least squares estimators in regression models with nonspherical disturbances
- Estimation in a linear model with serially correlated errors when observations are missing
- Labour market transitions and retirement of men in the UK
- Title not available (Why is that?)
- On bootstrapping two-stage least-squares estimates in stationary linear models
- Calibration as estimation
- ARCH modeling in finance. A review of the theory and empirical evidence
- Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
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