Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations
(1322 K)
|
NBER Technical Working Paper No. 11
Issued in July 1983
NBER Program(s): ITI IFM
This paper introduces a limited-information two-step estimator for models with rational expectations and serially correlated disturbances. The estimator greatly extends the area of applicability of McCallum's (1976) instrumental variables approach to rational expectations models. Section I reviews McCallum%s method and discusses in detail the problems surrounding its use in many empirical c/ntexts. Section II presents the two-step two-stage least squares estimator (2S2S1) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison nf several estim!tors for a two equation macroeconomic model with rational expectations due to Taylor (1979).
Published: Cumby, Robert E., John Huizinga and Maurice Obstfeld. "Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations." Journal of Econometrics, Vol. 21, (1983) pp. 333-355.
This paper is available as PDF (1322 K) or via email.
Machine-readable bibliographic record -
MARC,
RIS,
BibTeX
|
|
|
About
Support
The research activities of the NBER are funded by grants from federal research agencies, by private foundations, and by generous donations from our corporate associates and from private individuals. The NBER is a non-profit, 501(c)(3) organization. For information on supporting the NBER, please contact:
Mr. Denis Healy, Director of Development
NBER
1050 Massachusetts Avenue
Cambridge, MA 02138-5398
ph: 617-868-3900
email: dhealy@nber.org
Close
