This paper considers the estimation of models containing anticipated and unanticipated variables using two-step methods, in which the unobserved variables are generated by recursive regressions. It is shown that the parameter estimates of the structural equation are inefficient and the conventionally programmed OLS standard errors are inconsistent.
|Number of pages||5|
|Publication status||Published - 1992 May|
ASJC Scopus subject areas
- Economics and Econometrics