A comparison of different methods of estimating and testing the especification of rational expectation models with one endogeneus and one exogenus variable

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dc.contributor.author Sargan, J. D.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2011-04-28T17:23:34Z
dc.date.available 2011-04-28T17:23:34Z
dc.date.issued 1992-05
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/10943
dc.description.abstract This article considers the theory of the estimation and testing of a model with one endogenous variable and one exogenous variable, where the structure of the model assumes a simple rational expectations hypothesis for the determination of the endogenous variable. Two methods of estimation are considered, the first the method of Maximum Likelihood, and the second the method of Instrumental Variables. The first is asymptotically efficient, the second may be relatively less asymptotically efficient. The first also has the advantage of suggesting suitable tests for the general form of the rational expectations model.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 92-24
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Instrumental variables
dc.subject.other Maximum likelihood estimation
dc.title A comparison of different methods of estimating and testing the especification of rational expectation models with one endogeneus and one exogenus variable
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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