WHEN ARE TWO STEP ESTIMATORS EFFICIENT
WHEN ARE TWO STEP ESTIMATORS EFFICIENT
复制标题
两步估计器何时有效
DOI：
10.1080/07474939108800206
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发表时间：
1991
影响因子：
1.2
通讯作者：
C. McKenzie
中科院分区：
文献类型：
--
作者：
M. McAleer;C. McKenzie
克鲁斯卡尔定理用于为包含预期和非预期变量的模型提供一些两步估计器 (2SE) 效率的简单而优雅的替代推导。建立了几个新结果： 2SE 对于具有预期变量和非预期变量的当前值和滞后值的结构方程来说效率不高； 2SE 对于与当前非预期变量相关的参数始终有效，并且对于与滞后非预期变量相关的参数（如果期望方程中没有滞后因变量）始终有效；结构方程中包含的附加回归量以及结构误差和期望误差的同期相关性都可以以直接的方式进行分析；单方程广义最小二乘估计器可以与系统最大似然估计器一样有效。
Kruskal's theorem is used to provide simple and elegant alternative derivations of the efficiency of some two step estimators (2SE) for models containing anticipated and unanticipated variables. Several new results are established: 2SE is not efficient for a structural equation with current and lagged values of both anticipated and unanticipated variables; 2SE is always efficient for the parameter associated with the current unanticipated variable, and for the parameter associated with the lagged unanticipated variable if there is no lagged dependent variable in the expectations equation; the inclusion of additional regressors in the structural equation and contemporaneous correlation of the structural and expectations errors can both be analysed in a straightforward manner; the single-equation generalized least squares estimator can be as efficient as the systems maximum likelihood estimator.