A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model

Kenneth D. West () and David W. Wilcox

Macroeconomics from EconWPA

Abstract: Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional one. (Hansen (1985)). We find that for some plausible data generating processes, the optimal one is distinctly more efficient asymptotically. simulations indicate that in samples of size typically available, asymptotic theory describes the distribution of the parameter estimates reasonably well, but that test statistics sometimes are poorly sized.

JEL-codes: E (search for similar items in EconPapers)
Date: 1994-10-24
Note: paper and graphs in two seperate files
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/mac/papers/9410/9410001.pdf (application/pdf)
http://129.3.20.41/eps/mac/papers/9410/9410001.ps.gz (application/postscript)

Related works:
Working Paper: A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model (1994)
Journal Article: A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model (1996)
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:wpa:wuwpma:9410001

Access Statistics for this paper

More papers in Macroeconomics from EconWPA
Series data maintained by EconWPA ().