On Optimal Instrumental Variables Estimation of Stationary Time Series Models

Kenneth D. West ()

No 249, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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 a linear model with a conditionally heteroskedastic disturbance.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2000-01
Note: TWP
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/t0249.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Journal Article: On Optimal Instrumental Variables Estimation of Stationary Time Series Models (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberte:0249

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0249
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().