On Optimal Instrumental Variables Estimation of Stationary Time Series Models
AbstractIn many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use of such moments in a parametric model. I also illustrate application of the condition in estimation of a linear model with a disturbance that is serially uncorrelated and conditionally heteroskedastic.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 42 (2001)
Issue (Month): 4 (November)
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Other versions of this item:
- Kenneth D. West, 2000. "On Optimal Instrumental Variables Estimation of Stationary Time Series Models," NBER Technical Working Papers 0249, National Bureau of Economic Research, Inc.
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