Recursive estimation and generated regressors

Michael McAleer, C. R. McKenzie

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


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 languageEnglish
Pages (from-to)1-5
Number of pages5
JournalEconomics Letters
Issue number1
Publication statusPublished - 1992 May
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Recursive estimation and generated regressors'. Together they form a unique fingerprint.

Cite this