Recursive estimation and generated regressors

DOI10.1016/0165-1765(92)90091-CMaRDI QIDQ1195084zbMATH OpenOpenAlexFDO

Authors Michael McAleer, C. R. Mckenzie

Publication date 5 October 1992

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90091-c

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites work

• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• Two Stage and Related Estimators and Their Applications
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach
• When are two step estimators efficient?

Cited in

(1)

• Computation of the GLS estimator of a model with anticipated and unanticipated effects

Describes a project that uses

Uses Software

• Microfit

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