TY  - JOUR
AU  - Obstfeld,Maurice
AU  - Cumby,Robert E.
AU  - Huizinga,John
TI  - Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 11
PY  - 1983
Y2  - July 1983
UR  - http://www.nber.org/papers/t0011
L1  - http://www.nber.org/papers/t0011.pdf
N1  - Author contact info:
Maurice Obstfeld
Department of Economics
University of California, Berkeley
530 Evans Hall #3880
Berkeley, CA 94720-3880
Tel: 510/643-9646
Fax: 510/642-6615
E-Mail: obstfeld@econ.berkeley.edu

Robert E. Cumby
Georgetown University
School of Foreign Service
Washington, DC 20057-1045
Tel: 202/687-2990
Fax: 202/687-6102
E-Mail: cumbyr@georgetown.edu

John Huizinga
Graduate School of Business
The University of Chicago
1101 East 58th Street
Chicago, IL   60637
Tel: 773-702-7272;  john.huizinga@gsb.uchicago.edu
E-Mail: john.huizinga@ChicagoBooth.edu
AB  - 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).
ER  -