Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations

Theo Nijman and Franz Palm

International Economic Review, 1991, vol. 32, issue 2, 383-89

Abstract: The authors discuss the choice of approximations for unobserved expectations underlying consistent estimators in linear rational expectations models with future expectations. They show how estimators that 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 related efficiency of various estimators. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://links.jstor.org/sici?sici=0020-6598%2819910 ... O%3B2-5&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS (1989)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ier:iecrev:v:32:y:1991:i:2:p:383-89

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is currently edited by Harold L. Cole

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and ().