The Efficiency of the Two-Step Estimator

DOI10.2307/1912974zbMATH Open0257.62042OpenAlexW1977666488MaRDI QIDQ5672012FDOQ5672012

Authors: Kenneth F. Wallis 

Publication date: 1972

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912974

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Cited In (4)

• Small sample efficiency gains from a first observation correction for hatanakafs estimator of the lagged dependent variable-serial correlation regression model
• OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• The structure of simultaneous equations estimators

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