02082cam a22002297 4500001000600000003000500006005001700011008004100028100002100069245015200090260006600242490005100308500001900359520110400378530006101482538007201543538003601615710004201651830008601693856003701779856003601816t0054NBER20150830131306.0150830s1986 mau||||fs|||| 000 0 eng d1 aWest, Kenneth D.10aFull Versus Limited Information Estimation of a Rational Expectations Modelh[electronic resource]:bSome Numerical Comparisons /cKenneth D. West. aCambridge, Mass.bNational Bureau of Economic Researchc1986.1 aNBER technical working paper seriesvno. t0054 aFebruary 1986.3 aThis paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0054.4 uhttp://www.nber.org/papers/t005441uhttp://dx.doi.org/10.3386/t0054