Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations

DOI10.2307/2526881zbMATH Open0725.62102OpenAlexW2077593546MaRDI QIDQ5203541FDOQ5203541

Authors: Franz C. Palm, Theo Nijman 

Publication date: 1991

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/ws/files/1148650/TNFP5620397.pdf

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zbMATH Keywords

generalized least squares estimationrelative efficiencylinear rational expectation modelsfuture expectationschoice of approximations for unobserved expectations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited In (3)

• Title not available (Why is that?)
• The Efficient Estimation of Econometric Models with Rational Expectations
• Pooling forecasts in linear rational expectations models

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