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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.
Year of publication:
2000-01
Authors: West, Kenneth D.
Institutions: National Bureau of Economic Research (NBER)
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
TWP published as West, Kenneth D. "On Optimal Instrumental Variables Estimation Of Stationary Time Series Models," International Economic Review, 2001, v42(4,Nov), 1043-1050. Number 0249
Source:
Persistent link: https://www.econbiz.de/10005779042
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