Optimal instrumental variables estimation for ARMA models

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Optimal instrumental variables estimation for ARMA models

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Kuersteiner, Guido M.

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Guido M. Kuersteiner

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 104 (2001)
Issue (Month): 2 (September)
Pages: 359-405
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Handle: RePEc:eee:econom:v:104:y:2001:i:2:p:359-405

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Paper
- Guido M. Kuersteiner, 1999. "Optimal Instrumental Variables Estimation for ARMA Models," Working papers 99-07, Massachusetts Institute of Technology (MIT), Department of Economics.

Cited by:
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Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
Other versions:
- GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- GONÇALVES, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
- Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO. [Downloadable!]
- Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November. [Downloadable!] (restricted)
Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR). [Downloadable!]
Other versions:
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Blackwell Publishing, vol. 21(1), pages 143-173, 02. [Downloadable!] (restricted)
Jorda, Oscar, 2007. "Inference for Impulse Responses," Working Papers 07-7, University of California at Davis, Department of Economics. [Downloadable!]
Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation, Yale University, revised Nov 2006. [Downloadable!]
- Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January. [Downloadable!] (restricted)

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