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Two stage and related estimators and their applications. (English) Zbl 0632.62111
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.

MSC:
62P20 Applications of statistics to economics
62H12 Estimation in multivariate analysis
62J99 Linear inference, regression
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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