Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations  

Oleh:

Nijman, Theo ; Palm, Franz

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 32 no. 2 (1991), page 383-390.
Topik: estimation; generalized; estimation; linear models; rational future

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We discuss the choice of approximations for unobserved expectations underlying consistent estimators in linear RE models with future expectations. We show how estimators which are more efficient than the commonly used GMM estimators can be obtained if it is assumed that the future expectation depends on a finite number of variables only. Numerical results for a simple model illustrate the relative efficiency of various estimators.

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