On Optimal Instrumental Variables Estimation of Stationary Time Series Models
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.
|Date of creation:||Jan 2000|
|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.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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- repec:cup:etheor:v:9:y:1993:i:4:p:633-48 is not listed on IDEAS
- 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.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- West, Kenneth D & Wilcox, David W, 1996.
"A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(3), pages 281-293, July.
- Kenneth D. West & David W. Wilcox, 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Macroeconomics 9410001, EconWPA.
- West, K.D. & Wilcox, D.W., 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Working papers 9414, Wisconsin Madison - Social Systems.
- 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.
- Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
- 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.
- 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.
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