OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY

Stanislav Anatolyev

Journal of Economic Surveys, 2007, vol. 21, issue 1, 143-173

Abstract: Abstract This article surveys estimation in stationary time‐series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances – in single‐ and multiperiod models, in the absence and presence of conditional heteroskedasticity, by considering linear and non‐linear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but econometric theorists and teachers of graduate econometrics may also find it useful.

Date: 2007
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https://doi.org/10.1111/j.1467-6419.2007.00501.x

Related works:
Working Paper: Optimal Instruments in Time Series: A Survey (2005)
Working Paper: Optimal Instruments in Time Series: A Survey (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jecsur:v:21:y:2007:i:1:p:143-173

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