When are two step estimators efficient?

Michael McAleer, C. R. McKenzie

研究成果: Article査読

35 被引用数 (Scopus)

抄録

Kruskal’s theorem is used to provide simple and elegant alternative derivations of the efficiency of some two step estimators (2SE) for models containing anticipated and unanticipated variables. Several new results are established: 2SE is not efficient for a structural equation with current and lagged values of both anticipated and unanticipated variables; 2SE is always efficient for the parameter associated with the current unanticipated variable, and for the parameter associated with the lagged unanticipated variable if there is no lagged dependent variable in the expectations equation; the inclusion of additional regressors in the structural equation and contemporaneous correlation of the structural and expectations errors can both be analysed in a straightforward manner; the single-equation generalized least squares estimator can be as efficient as the systems maximum likelihood estimator.

本文言語English
ページ(範囲)235-252
ページ数18
ジャーナルEconometric Reviews
10
2
DOI
出版ステータスPublished - 1991 1 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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