RECURSIVE ESTIMATION AND GENERATED REGRESSORS

被引：4
|
作者：
MCALEER, M
MCKENZIE, CR
机构：
[1] OSAKA UNIV,FAC ECON,TOYONAKA,OSAKA 560,JAPAN
[2] UNIV WESTERN AUSTRALIA,NEDLANDS,WA 6009,AUSTRALIA
来源：
ECONOMICS LETTERS | 1992年 / 39卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
D O I：
10.1016/0165-1765(92)90091-C
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers the estimation of models containing anticipated and unanticipated variables using two-step methods, in which the unobserved variables are generated by recursive regressions. It is shown that the parameter estimates of the structural equation are inefficient and the conventionally programmed OLS standard errors are inconsistent.
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页码：1 / 5
页数：5
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