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On Optimal Instrumental Variables Estimation of Stationary Time Series Models

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  • Kenneth D. West

Abstract

In 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 conditionally heteroskedastic disturbance.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0249.

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Date of creation: Jan 2000
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Publication status: published as West, Kenneth D. "On Optimal Instrumental Variables Estimation Of Stationary Time Series Models," International Economic Review, 2001, v42(4,Nov), 1043-1050.
Handle: RePEc:nbr:nberte:0249

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References

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  1. repec:cup:etheor:v:9:y:1993:i:4:p:633-48 is not listed on IDEAS
  2. repec:att:wimass:9414 is not listed on IDEAS
  3. Bates, Charles E. & White, Halbert, 1993. "Determination of Estimators with Minimum Asymptotic Covariance Matrices," Econometric Theory, Cambridge University Press, vol. 9(04), pages 633-648, August.
  4. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
  5. Kenneth D. West & David W. Wilcox, 1995. "A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model," NBER Technical Working Papers 0176, National Bureau of Economic Research, Inc.
  6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  7. Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238.
  8. Kuersteiner, Guido M., 2002. "Efficient Iv Estimation For Autoregressive Models With Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 18(03), pages 547-583, June.
  9. Kenneth D. West & David W. Wilcox, 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Macroeconomics 9410001, EconWPA.
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Cited by:
  1. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc.
  2. Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
  3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  4. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  5. Carrasco, Marine & Florens, Jean-Pierre, 2003. "On the Asymptotic Efficiency of GMM," IDEI Working Papers 173, Institut d'Économie Industrielle (IDEI), Toulouse.

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