@techreport{NBERt0011,
 title = "Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations",
 author = "Maurice Obstfeld and Robert E. Cumby and John Huizinga",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "11",
 year = "1983",
 month = "July",
 URL = "http://www.nber.org/papers/t0011",
 abstract = {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).},
}