Two-step two-stage least squares estimation in models with rational expectations

DOI10.1016/0304-4076(83)90049-0zbMath0508.62097OpenAlexW3122863717MaRDI QIDQ1838019

Robert E. Cumby, John Huizinga, Maurice Obstfeld

Publication date: 1983

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

Full work available at URL: http://www.nber.org/papers/t0011.pdf

zbMATH Keywords

rational expectationsmoving average processlimited information estimatorsautocorrelated residualserror-in-variables-modelinstrumental-variables estimatorsrational- expectations macroeconomic model of United Statestwo-step two-stage least squares estimation

Mathematics Subject Classification ID

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

Related Items

Generalized method of moments specification testing, Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator, Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models, Econometric tests of rationality and market efficiency, More Efficient Tests Robust to Heteroskedasticity of Unknown Form, The identification of liquidity effects in the EMS: Italy 1991-1992, Estimating Expected Exchange Rates Under Target Zone Regimes, A comparison of LS/ML and GMM estimation in a simple AR(1) model, On estimation and testing when explanatory variables are partly endogenous

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