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Two Stage and Related Estimators and Their Applications

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 for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 741.

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Length: 45 pages
Date of creation: Apr 1985
Date of revision:
Publication status: Published in Review of Economic Studies (1986), 53: 517-538
Handle: RePEc:cwl:cwldpp:741
Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/

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  9. ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François, . "Exogeneity," CORE Discussion Papers RP -516, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  21. 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.
  22. Frederic S. Mishkin, 1980. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," NBER Working Papers 0506, National Bureau of Economic Research, Inc.
  23. Richard Smith & Richard Blundell, 1983. "An Exogeneity Test for the Simultaneous Equation Tobit Model With an Application to Labour Supply," Working Papers 546, Queen's University, Department of Economics.
  24. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  25. 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.
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  27. Inder, Brett A, 1990. "A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 341-54, May.
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