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

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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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