On Optimal Instrumental Variables Estimation of 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 an autoregression with a conditionally heteroskedastic disturbance.

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Year of publication:	1997
Authors:	West, K.D.
Institutions:	Wisconsin Madison - Social Systems
Subject:	TIME SERIES \| EVALUATION

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Extent:	application/pdf
Series:	Working papers.
Type of publication:	Book / Working Paper
Notes:	7 pages
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005443430