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When are two step estimators efficient?

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Author Info
Michael McAleer
C. R. McKenzie

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Abstract

Kruskal's theorem is used to provide simple and elegant alternative derivations of the efficiency of some two step estimators (2SE) for models containing anticipated and unanticipated variables. Several new results are established: 2SE is not efficient for a structural equation with current and lagged values of both anticipated and unanticipated variables; 2SE is always efficient for the parameter associated with the current unanticipated variable, and for the parameter associated with the lagged unanticipated variable if there is no lagged dependent variable in the expectations equation; the inclusion of additional regressors in the structural equation and contemporaneous correlation of the structural and expectations errors can both be analysed in a straightforward manner; the single-equation generalized least squares estimator can be as efficient as the systems maximum likelihood estimator.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 10 (1991)
Issue (Month): 2 ()
Pages: 235-252
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Handle: RePEc:taf:emetrv:v:10:y:1991:i:2:p:235-252

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Related research
Keywords: Efficiency Generated Regressors Kruskal's Theorem Two Step Estimation Rational Expectations Models

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  5. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society. [Downloadable!]
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  6. Alfredo Schclarek, 2004. "Consumption and Keynesian Fiscal Policy," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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