A double length regression computation method for the 2SGLS estimator of rational expectations model

Research output: Contribution to journalArticle

Abstract

This paper extends a matrix inverse result of Higgins and presents a new unified double length regression method to calculate the two-step generalised least squares estimators of two types of rational expectations model with current anticipated and unanticipated components. The estimator can be applied directly in most of the standard econometric computer packages such as PC-Give and Microfit.

Original languageEnglish
Pages (from-to)423-429
Number of pages7
JournalOxford Bulletin of Economics and Statistics
Volume58
Issue number1
Publication statusPublished - 1 May 1996
Externally publishedYes

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Generalized Least Squares Estimator
Rational Expectations
Inverse matrix
Econometrics
PC
econometrics
Regression
Estimator
Calculate
regression
Model
Standards
Rational expectations models
Least squares estimator
Generalized least squares
Regression method

Cite this

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A double length regression computation method for the 2SGLS estimator of rational expectations model. / Ma, Yue; Liu, Shuangzhe.

In: Oxford Bulletin of Economics and Statistics, Vol. 58, No. 1, 01.05.1996, p. 423-429.

Research output: Contribution to journalArticle

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