OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY

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 non-linear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but econometric theorists and teachers of graduate econometrics may also find it useful. Copyright 2007 The Author Journal compilation © 2007 Blackwell Publishing Ltd.