| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0011 |
| 来源ID | Technical Working Paper 0011 |
| Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations | |
| Maurice Obstfeld; Robert E. Cumby; John Huizinga | |
| 发表日期 | 1983-07-01 |
| 出版年 | 1983 |
| 语种 | 英语 |
| 摘要 | 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). |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/t0011 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558386 |
| 推荐引用方式 GB/T 7714 | Maurice Obstfeld,Robert E. Cumby,John Huizinga. Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations. 1983. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0011.pdf（1321KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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