Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/oup/restud/v53y1986i4p517-538..html
   My bibliography  Save this article

Two Stage and Related Estimators and Their Applications

Author

Listed:
  • Adrian Pagan
Abstract
This paper aims to provide a unified treatment of the properties of two stage estimators. General conditions are set forth for consistency, efficiency and correct inferences. Applications of the general theorems are made to models with expectations and diagnostic tests. The general approach frequently enables much simpler derivation of existing results, and provides a number of new ones.

Suggested Citation

  • Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 517-538.
    • Handle: RePEc:oup:restud:v:53:y:1986:i:4:p:517-538.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2307/2297604
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Long, James E & Jones, Ethel B, 1980. "Labor Force Entry and Exit by Married Womem: A Longitudinal Analysis," The Review of Economics and Statistics, MIT Press, vol. 62(1), pages 1-6, February.
    2. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, vol. 84(2), pages 207-237, April.
    3. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
    4. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.
    5. Smith, Richard J & Blundell, Richard W, 1986. "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica, Econometric Society, vol. 54(3), pages 679-685, May.
    6. Pudney, S. E., 1982. "The identification of rational expectations models under structural neutrality," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 117-121, November.
    7. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-115, March.
    8. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    9. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July.
    10. Bloom, David E. & Killingsworth, Mark R., 1985. "Correcting for truncation bias caused by a latent truncation variable," Journal of Econometrics, Elsevier, vol. 27(1), pages 131-135, January.
    11. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    12. Sargent, Thomas J, 1978. "Estimation of Dynamic Labor Demand Schedules under Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 1009-1044, December.
    13. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-959, July.
    14. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    15. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    16. Mishkin, Frederic S, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," Journal of Political Economy, University of Chicago Press, vol. 90(1), pages 22-51, February.
    17. M. R. Wickens, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(1), pages 55-67.
    18. Attfield, C. L. F., 1983. "An analysis of the implications of omitting variables from the monetary growth equation in a model of real output and unanticipated money growth," European Economic Review, Elsevier, vol. 23(3), pages 281-290, September.
    19. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
    20. King, Maxwell L., 1985. "A point optimal test for autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 27(1), pages 21-37, January.
    21. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 239-253.
    22. Amemiya, Takeshi, 1978. "On a two-step estimation of a multivariate logit model," Journal of Econometrics, Elsevier, vol. 8(1), pages 13-21, August.
    23. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
    24. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    25. Eckstein, Zvi, 1984. "A Rational Expectations Model of Agricultural Supply," Journal of Political Economy, University of Chicago Press, vol. 92(1), pages 1-19, February.
    26. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-1266, September.
    27. Lewis, Philip E. T., 1983. "Disequilibrium in the Australian aggregate labour market," Economics Letters, Elsevier, vol. 11(1-2), pages 185-189.
    28. Inder, Brett A, 1990. "A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 341-354, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    2. Xiaodi Xie, 1997. "Children and female labour supply behaviour," Applied Economics, Taylor & Francis Journals, vol. 29(10), pages 1303-1310.
    3. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, August.
    4. Fernández-Val, Iván & Vella, Francis, 2011. "Bias corrections for two-step fixed effects panel data estimators," Journal of Econometrics, Elsevier, vol. 163(2), pages 144-162, August.
    5. Keunkwan Ryu, 2001. "Maximum Likelihood Estimation and Specification Test of the Proportional Hazard Model Using Grouped Durations," ISER Discussion Paper 0552, Institute of Social and Economic Research, Osaka University.
    6. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.
    7. M. Hashem Pesaran, 1988. "Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models," UCLA Economics Working Papers 493, UCLA Department of Economics.
    8. Verbeek, M.J.C.M. & Nijman, T.E., 1992. "Incomplete panels and selection bias : A survey," Discussion Paper 1992-7, Tilburg University, Center for Economic Research.
    9. Wooldridge, Jeffrey M., 1995. "Selection corrections for panel data models under conditional mean independence assumptions," Journal of Econometrics, Elsevier, vol. 68(1), pages 115-132, July.
    10. van Soest, A.H.O., 1990. "Essays on micro-econometric models of consumer demand and the labour market," Other publications TiSEM be045d62-a73d-4d7c-a591-f, Tilburg University, School of Economics and Management.
    11. George Neumann, 1996. "Search Models and Duration Data," Econometrics 9602008, University Library of Munich, Germany, revised 07 Mar 1996.
    12. Sungho Park & Sachin Gupta, 2012. "Handling Endogenous Regressors by Joint Estimation Using Copulas," Marketing Science, INFORMS, vol. 31(4), pages 567-586, July.
    13. Wooldridge, Jeffrey M., 2014. "Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 182(1), pages 226-234.
    14. Landon, Stuart, 1995. "Testing aggregate neutrality with heterogeneous sectors," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 131-148.
    15. Song, Weixing & Yao, Weixin, 2011. "A lack-of-fit test in Tobit errors-in-variables regression models," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1792-1801.
    16. Koul, Hira L. & Song, Weixing & Liu, Shan, 2014. "Model checking in Tobit regression via nonparametric smoothing," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 36-49.
    17. Zaiceva, Anzelika, 2006. "Self-Selection and the Returns to Geographic Mobility: What Can Be Learned from the German Reunification "Experiment"," IZA Discussion Papers 2524, Institute of Labor Economics (IZA).
    18. Verbeek, M.J.C.M. & Nijman, T.E., 1992. "Incomplete panels and selection bias : A survey," Other publications TiSEM 65401dae-613b-4e10-a8ae-c, Tilburg University, School of Economics and Management.
    19. Junbyoung Oh & Zhen Sun & Kineung Choo, 2023. "Financial Market Reactions to Patent Litigation: An Event Study of Litigation in Korea," Korean Economic Review, Korean Economic Association, vol. 39, pages 175-203.
    20. Vella, Francis & Verbeek, Marno, 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Journal of Econometrics, Elsevier, vol. 90(2), pages 239-263, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:53:y:1986:i:4:p:517-538.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/restud .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.