Full-versus limited-information estimation of a rational-expectations model. Some numerical comparisons

DOI10.1016/0304-4076(86)90003-5zbMath0603.62117OpenAlexW3117128806MaRDI QIDQ1082770

Kenneth D. West

Publication date: 1986

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(86)90003-5

zbMATH Keywords

asymptotic biasasymptotic efficiencypowerasymptotic distributionslocal alternativesnumerical comparisonsparameter estimatestest statisticsfull information estimationrational expectations modelslimited-information estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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• Full-versus limited-information estimation of a rational-expectations model. Some numerical comparisons
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• The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model