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.
|Number of pages||7|
|Journal||Oxford Bulletin of Economics and Statistics|
|Publication status||Published - 1 May 1996|