When are two step estimators efficient?

Michael McAleer, Colin R Mckenzie

研究成果: Article

33 引用 (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.

元の言語English
ページ(範囲)235-252
ページ数18
ジャーナルEconometric Reviews
10
発行部数2
DOI
出版物ステータスPublished - 1991 1 1
外部発表Yes

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Two-step estimator
Structural equations
Generalized least squares
Inclusion
Maximum likelihood estimator
Contemporaneous correlation
Least squares estimator

ASJC Scopus subject areas

  • Economics and Econometrics

これを引用

When are two step estimators efficient? / McAleer, Michael; Mckenzie, Colin R.

:: Econometric Reviews, 巻 10, 番号 2, 01.01.1991, p. 235-252.

研究成果: Article

McAleer, Michael ; Mckenzie, Colin R. / When are two step estimators efficient?. :: Econometric Reviews. 1991 ; 巻 10, 番号 2. pp. 235-252.
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