Ma, Yue; Liu, Shuangzhe - In: Oxford Bulletin of Economics and Statistics 58 (1996) 2, pp. 423-29
This paper extends a matrix inverse result of M. L. Higgins (1994) and presents a new unified double length regression method to calculate the two-step generalized least squares estimators of two types of rational expectations models with current anticipated and unanticipated components. The...