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Consistent estimation using proxy-variables in models with unobserved variables

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Author Info

  • Palm, F.C.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

  • Nijman, Th.

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File URL: ftp://zappa.ubvu.vu.nl/19840012.pdf
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Bibliographic Info

Paper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0012.

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Date of creation: 1984
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Handle: RePEc:dgr:vuarem:1984-12

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Web page: http://www.feweb.vu.nl

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References

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  1. 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.
  2. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
  3. Flood, Robert P. & Garber, Peter M., 1980. "A pitfall in estimation of models with rational expectations," Journal of Monetary Economics, Elsevier, vol. 6(3), pages 433-435, July.
  4. Mishkin, Frederic S, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," Journal of Political Economy, University of Chicago Press, vol. 90(1), pages 22-51, February.
  5. 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.
  6. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
  7. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
  8. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
  9. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-35, November.
  10. Cumby, Robert E. & Huizinga, John & Obstfeld, Maurice, 1983. "Two-step two-stage least squares estimation in models with rational expectations," Journal of Econometrics, Elsevier, vol. 21(3), pages 333-355, April.
  11. Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-63, May.
  12. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-73, April.
  13. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  14. Dagenais, Marcel G., 1973. "The use of incomplete observations in multiple regression analysis : A generalized least squares approach," Journal of Econometrics, Elsevier, vol. 1(4), pages 317-328, December.
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