Estimating Limited Dependent Rational Expectations Models
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Analysis of Panels and Limited Dependent Variable Models
Author | : Cheng Hsiao |
Publisher | : Cambridge University Press |
Total Pages | : 352 |
Release | : 1999-07-29 |
Genre | : Business & Economics |
ISBN | : 113943134X |
This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.
Rational Expectations in Limited Dependent Variable Models
Author | : Lung-Fei Lee |
Publisher | : |
Total Pages | : 0 |
Release | : 1993 |
Genre | : Rational expectations (Economic theory) |
ISBN | : |
Full Versus Limited Information Estimation of a Rational Expectations Model
Author | : Kenneth David West |
Publisher | : |
Total Pages | : 24 |
Release | : 1986 |
Genre | : Rational expectations (Economic theory) |
ISBN | : |
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.