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Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations / Maurice Obstfeld, Robert E. Cumby, John Huizinga.
- Format:
- Book
- Author/Creator:
- Obstfeld, Maurice.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0011.
- NBER technical working paper series no. t0011
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1983.
- Summary:
- 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).
- Notes:
- Print version record
- July 1983.
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