On Optimal Instrumental Variables Estimation of Time Series Models

Kenneth D. West ()

Working papers from Wisconsin Madison - Social Systems

Abstract: 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.

Keywords: TIME SERIES; EVALUATION (search for similar items in EconPapers)
JEL-codes: C30 C32 C51 (search for similar items in EconPapers)
Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:att:wimass:9717

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Address: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.
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