Abstract

http://ssrn.com/abstract=275351
 
 

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Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations


Maurice Obstfeld


University of California, Berkeley - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Robert E. Cumby


Georgetown University - Department of Economics; National Bureau of Economic Research (NBER)

John P. Huizinga


University of Chicago - Booth School of Business

July 1983

NBER Working Paper No. t0011

Abstract:     
This paper introduces a limited-information two-step estimator for models with rational expectations and serially correlated disturbances. The estimator greatly extends the area of applicability of McCallum's (1976) instrumental variables approach to rational expectations models. Section I reviews McCallum's method and discusses in detail the problems surrounding its use in many empirical contexts. Section II presents the two-step two-stage least squares estimator (2S2S1) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison nf several estimators for a two equation macroeconomic model with rational expectations due to Taylor (1979).

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Date posted: October 4, 2001  

Suggested Citation

Obstfeld, Maurice and Cumby, Robert E. and Huizinga, John P., Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations (July 1983). NBER Working Paper Series, Vol. t0011, pp. -, 1983. Available at SSRN: http://ssrn.com/abstract=275351

Contact Information

Maurice Obstfeld (Contact Author)
University of California, Berkeley - Department of Economics ( email )
549 Evans Hall #3880
Berkeley, CA 94720-3880
United States
510-643-9646 (Phone)
510-642-6615 (Fax)
HOME PAGE: http://emlab.berkeley.edu/users/obstfeld/
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Robert E. Cumby
Georgetown University - Department of Economics ( email )
580 Intercultural Center
Washington, DC 20057
United States
202-687-2990 (Phone)
202-687-6102 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
John Huizinga
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7272 (Phone)
773-702-2225 (Fax)
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