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The Efficiency of the Two-Step Estimator - MaRDI portal

The Efficiency of the Two-Step Estimator

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Publication:5672012

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DOI10.2307/1912974zbMath0257.62042OpenAlexW1977666488MaRDI QIDQ5672012

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)

Related Items (4)

Small sample efficiency gains from a first observation correction for hatanakafs estimator of the lagged dependent variable-serial correlation regression model ⋮ The structure of simultaneous equations estimators ⋮ 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

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