When are two step estimators efficient?

DOI10.1080/07474939108800206zbMath0741.62096OpenAlexW2087231983MaRDI QIDQ3974561

C. R. Mckenzie, Michael McAleer

Publication date: 25 June 1992

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939108800206

zbMATH Keywords

efficiencymaximum likelihood estimatorgenerated regressorsKruskal's theoremgeneralized least squares estimatorstructural equationrational expectations modelstwo step estimators2SE

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

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Cites Work

• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Two Stage and Related Estimators and Their Applications
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach