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A DOUBLE LENGTH REGRESSION COMPUTATION METHOD FOR THE 2SGLS ESTIMATOR OF RATIONAL EXPECTATIONS MODELS
Author(s) -
Ma Yue,
Liu Shuangzhe
Publication year - 1996
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.1996.mp58002013.x
Subject(s) - estimator , rational expectations , computation , econometrics , mathematics , inverse , regression , econometric model , regression analysis , least squares function approximation , statistics , computer science , algorithm , geometry
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.