Generalized least squares estimation of linear models containing rational future expectations
AbstractThe authors discuss the choice of approximations for unobserved expectations underlying consistent estimators in linear rational expectations models with future expectations. They show how estimators that are more efficient than the commonly used GMM estimators can be obtained if it is assumed that the future expectation depends on a finite number of variables only. Numerical results for a simple model illustrate the related efficiency of various estimators. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-153284.
Date of creation: 1991
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Publication status: Published in International Economic Review (1991) v.32, p.383-390
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Other versions of this item:
- Nijman, Theo & Palm, Franz, 1991. "Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 383-89, May.
- Nijman, T.E. & Palm, F.C., 1989. "Generalized least squares estimation of linear models containing rational future expectations," Discussion Paper 1989-2, Tilburg University, Center for Economic Research.
- Nijman, T. & Palm, F., 1989. "Generalized Least Squares Estimation Of Linear Models Containing Rational Future Exepectations," Papers 8902, Tilburg - Center for Economic Research.
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- Nijman, T.E. & Palm, F.C., 1991.
"Recent developments in modeling volatility in financial data,"
1991-68, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Palm, F.C., 1991. "Recent Developments in Modeling Volatility in Financial Data," Papers 9168, Tilburg - Center for Economic Research.
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