Author: Kenneth David West
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 24
Book Description
This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large.
Full Versus Limited Information Estimation of a Rational Expectations Model
Author: Kenneth David West
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 24
Book Description
This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large.
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 24
Book Description
This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large.
Full Versus Limited Information Estimation of a Rational Expectations Model
Author: Kenneth D. West
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
Author: Ray C. Fair
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 36
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 36
Book Description
On the Limited-information Estimation of Rational Expectations Models
Author: Glenn W. Harrison
Publisher:
ISBN: 9780959673876
Category : Rational expectations (Economic theory)
Languages : en
Pages : 12
Book Description
Publisher:
ISBN: 9780959673876
Category : Rational expectations (Economic theory)
Languages : en
Pages : 12
Book Description
Limited and Full Information Estimation of the Rational Expectations Demand for the Money Model
Author: Antti Ripatti
Publisher:
ISBN: 9789516865433
Category :
Languages : en
Pages : 30
Book Description
Tiivistelmä.
Publisher:
ISBN: 9789516865433
Category :
Languages : en
Pages : 30
Book Description
Tiivistelmä.
Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations
Author: John Huizinga
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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 (2S2S1S) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison of several estimators for a two equation macroeconomic model with rational expectations due to Taylor (1979).
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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 (2S2S1S) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison of several estimators for a two equation macroeconomic model with rational expectations due to Taylor (1979).
Estimation of Dynamic Limited-dependent Rational Expectation Models
Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Full Information Maximum Likelihood Estimation of Models Containing Forward Rational Expectations
Author: A. Snell
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Estimation and Learning in Models of Rational Expectations
Author: Mark David Feldman
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
Book Description
Exact Linear Rational Expectations Models
Author: Lars Peter Hansen
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description