On Optimal Instrumental Variables Estimation of Stationary Time Series Models

Kenneth West ()

International Economic Review, 2001, vol. 42, issue 4, 1043-50

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 disturbance that is serially uncorrelated and conditionally heteroskedastic.

Date: 2001
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Working Paper: On Optimal Instrumental Variables Estimation of Stationary Time Series Models (2000)
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