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Optimal Instruments in Time Series: A Survey

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  • Stanislav Anatolyev

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Abstract

This article surveys estimation in stationary time series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances { in single- and multiperiod models, in the absence and presence of conditional heteroskedasticity, by considering linear and nonlinear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but also may be found useful by econometric theorists and teachers of graduate econometrics.

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  • Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  • Handle: RePEc:cfr:cefirw:w0069
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    Keywords

    Instrumental variables estimation; Moment restrictions; Optimal instrument; Effciency bounds; Stationary time series.;
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