Modelling with Et[Y(t+1)]

[diogoretti]

I need to estimate the following equation, to estimate ρ:

Yt = ρY(t-1)+(1-ρ)Et[Y(t+1)] + εt

Can someone help me with the code?

Tks!

[startz]

Use Y_(t+1) on the right and instrument for it.

[diogoretti]

startz,

Thank you, but can you be more specific? I'm a newbie.

[startz]

Code: Select all

tsls y c y(-1) y(1) @ c y(-1) x

where x is a variable correlated with y_(t+1) but not with the error in the equation nor the forecast error in y_(t+1).