When are two step estimators efficient?

DOI10.1080/07474939108800206MaRDI QIDQ3974561zbMATH OpenOpenAlexFDO

Authors Michael McAleer, C. R. Mckenzie

Publication date 25 June 1992

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939108800206

zbMATH Keywords

efficiencymaximum likelihood estimatorgenerated regressorsgeneralized least squares estimatorKruskal's theoremstructural equationrational expectations modelstwo step estimators2SE

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Two Stage and Related Estimators and Their Applications
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• On efficient estimators of two seemingly unrelated regressions
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Cites work

• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Two Stage and Related Estimators and Their Applications
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach

Cited in

(8)

• Computation of the GLS estimator of a model with anticipated and unanticipated effects
• Recursive estimation and generated regressors
• Are forecast updates progressive?
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• Expert opinion versus expertise in forecasting
• The reduced form of recursive models: Small sample properties
• Efficient two-step estimation via targeting
• Concentration ellipsoids, their planes of support, and the linear regression model

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