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Two Stage and Related Estimators and Their Applications

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Author Info
Adrian Pagan

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Abstract

Applied econometric research frequently encounters the difficulty that estimation of the parameters of interest is complex owing to the presence of incidental parameters. It is tempting therefore to try to circumvent the difficulties by proceeding in two stages. In the first, some estimates are made of the incidental parameters. In the second, these estimates are treated as though they were population values, leading to a large reduction in the dimension of the unknown parameter space, possibly even down to that of the parameters of interest only. The properties of such a staged process (particularly as they relate to issues arising from the consistency and efficiency of the estimator and the provision of reliable inference), applications involving the presence of current and future anticipations, an alternative estimator, and diagnostic tests are all discussed in this paper.

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File URL: http://cowles.econ.yale.edu/P/cd/d07a/d0741.pdf
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 741.

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Length: 45 pages
Date of creation: Apr 1985
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Handle: RePEc:cwl:cwldpp:741

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Keywords: Two stage estimators censored data anticipation

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References listed on IDEAS
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  1. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July. [Downloadable!] (restricted)
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  2. Attfield, C. L. F., 1983. "An analysis of the implications of omitting variables from the monetary growth equation in a model of real output and unanticipated money growth," European Economic Review, Elsevier, vol. 23(3), pages 281-290, September. [Downloadable!] (restricted)
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  4. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, vol. 84(2), pages 207-37, April. [Downloadable!] (restricted)
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  6. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 239-53, January. [Downloadable!] (restricted)
  7. King, Maxwell L., 1985. "A point optimal test for autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 27(1), pages 21-37, January. [Downloadable!] (restricted)
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  10. Frederic S. Mishkin, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," NBER Working Papers 0506, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-15, March.
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  12. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61. [Downloadable!] (restricted)
  13. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-59, July. [Downloadable!] (restricted)
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  14. Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Blackwell Publishing, vol. 49(1), pages 55-67, January. [Downloadable!] (restricted)
  15. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  16. Eckstein, Zvi, 1984. "A Rational Expectations Model of Agricultural Supply," Journal of Political Economy, University of Chicago Press, vol. 92(1), pages 1-19, February. [Downloadable!] (restricted)
  17. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February. [Downloadable!] (restricted)
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  20. Sargent, Thomas J, 1978. "Estimation of Dynamic Labor Demand Schedules under Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 1009-44, December. [Downloadable!] (restricted)
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  21. Amemiya, Takeshi, 1978. "On a two-step estimation of a multivariate logit model," Journal of Econometrics, Elsevier, vol. 8(1), pages 13-21, August. [Downloadable!] (restricted)
  22. Bloom, David E. & Killingsworth, Mark R., 1985. "Correcting for truncation bias caused by a latent truncation variable," Journal of Econometrics, Elsevier, vol. 27(1), pages 131-135, January. [Downloadable!] (restricted)
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  23. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March. [Downloadable!] (restricted)
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  24. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-66, September. [Downloadable!] (restricted)
  25. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
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