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On Optimal Instrumental Variables Estimation of Stationary Time Series Models

  • Kenneth D. West

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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File URL: http://www.nber.org/papers/t0249.pdf
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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
Note: TWP
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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  2. 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.
  3. repec:cup:etheor:v:9:y:1993:i:4:p:633-48 is not listed on IDEAS
  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. repec:att:wimass:9414 is not listed on IDEAS
  6. Kenneth D. West & David W. Wilcox, 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Macroeconomics 9410001, EconWPA.
  7. 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.
  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. 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.
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