On efficient estimation and correct inference in models with generated regressors: A general approach

Colin R. McKenzie, Michael McAleer

研究成果: Article査読

37 被引用数 (Scopus)

抄録

Two approaches have been developed for deriving the properties of efficiency and consistency of standard errors of two step estimators of linear models containing current or lagged unobserved expectations of a single variable. One method is based on the derivatives of the likelihood function and information matrix, while the other uses the true covariance matrix of the disturbance vector when unknown parameters or variables are replaced by corresponding estimates. In this paper, the second approach is extended to cases where the structural equation is nonlinear and the model contains expectations of more than one variable or expectations of future variables. The properties of a frequently used estimator to deal with missing observations problems, a model involving a variance as an explanatory variable, and a recently developed estimator for autoregressive moving average models can be easily derived using the results of the paper. Methods for improving the efficiency of two step estimators are outlined.

本文言語English
ページ(範囲)368-389
ページ数22
ジャーナルJapanese Economic Review
48
4
DOI
出版ステータスPublished - 1997
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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