This paper considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space, the generalized method of moments estimator of the...

Empirical analysis often involves using inexact measures of desired predictors. The bias created by the correlation between the problematic regressors and the error term motivates the need for instrumental variables estimation. This paper considers a class of estimators that can be used when...