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Consistent estimation of rational expectation models

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  • Nijman, T.E.

    (Tilburg University, School of Economics and Management)

  • Palm, F.C.

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  • Nijman, T.E. & Palm, F.C., 1986. "Consistent estimation of rational expectation models," Other publications TiSEM e9900aa6-bae2-4b35-89cb-e, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:e9900aa6-bae2-4b35-89cb-e5f55c8f027e
    as

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    References listed on IDEAS

    as
    1. Hayashi, Fumio & Sims, Christopher A, 1983. "Nearly Efficient Estimation of Time Series Models with Predetermined, but Not Exogenous, Instruments," Econometrica, Econometric Society, vol. 51(3), pages 783-798, May.
    2. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    3. Palm, F.C. & Nijman, Th., 1984. "Consistent estimation using proxy-variables in models with unobserved variables," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. 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 221-247, February.
    5. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
    6. 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.
    Full references (including those not matched with items on IDEAS)

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