Recursive estimation and generated regressors

Michael McAleer; C. R. McKenzie

doi:10.1016/0165-1765(92)90091-C

Recursive estimation and generated regressors

Michael McAleer, C. R. McKenzie

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1-5
Number of pages	5
Journal	Economics Letters
Volume	39
Issue number	1
DOIs	https://doi.org/10.1016/0165-1765(92)90091-C
Publication status	Published - 1992 May
Externally published	Yes

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(92)90091-C

Cite this

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title = "Recursive estimation and generated regressors",

abstract = "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.",

author = "Michael McAleer and McKenzie, {C. R.}",

note = "Funding Information: Correspondence to: CR. McKenzie, Faculty of Economics, Osaka University, Machikaneyama, Toyonaka 560, Japan. * The authors wish to acknowledge the financial support of the Australian Research Council and the Nihon Keizai Kenkyfi ShGrei Zaidan (Foundation to Promote Research on the Japanese Economy), respectively.",

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PY - 1992/5

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N2 - 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.

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Recursive estimation and generated regressors

Abstract

ASJC Scopus subject areas

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