1468-2354/asset/IERE_centre.gif?v=1&s=0c315c019499e503c6ee8beebeaf22509be89282)
On Optimal Instrumental Variables Estimation of Stationary Time Series Models
Article first published online: 23 DEC 2001
DOI: 10.1111/1468-2354.00145
2001 Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association
1468-2354/asset/cover.gif?v=1&s=fed4433db533e45650aec00d1db3fbb7fcc93278 "International Economic Review")
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How to Cite
West, K. D. (2001), On Optimal Instrumental Variables Estimation of Stationary Time Series Models. International Economic Review, 42: 1043–1050. doi: 10.1111/1468-2354.00145
Publication History
- Issue published online: 23 DEC 2001
- Article first published online: 23 DEC 2001
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 disturbance that is serially uncorrelated and conditionally heteroskedastic.