On Optimal Instrumental Variables Estimation of Stationary Time Series Models PDF Download

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On Optimal Instrumental Variables Estimation of Stationary Time Series Models

On Optimal Instrumental Variables Estimation of Stationary Time Series Models PDF Author: Kenneth D. West
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 30

Book Description
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.
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