Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: [rho]-mixing, [beta]-mixing and [alpha]-mixing. Stationary diffusions that are [rho]-mixing have mixing coefficients that...

This paper focuses on the estimation of a finite dimensional parameter in a linear model where the number of instruments is very large or infinite. In order to improve the small sample properties of standard instrumental variable (IV) estimators, we propose three modified IV estimators based on...