TY  - JOUR
AU  - West,Kenneth D.
AU  - Wilcox,David W.
TI  - A Comparison of Alternative Instruments Variables Estimators of a       Dynamic Linear Model
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 176
PY  - 1995
Y2  - March 1995
UR  - http://www.nber.org/papers/t0176
L1  - http://www.nber.org/papers/t0176.pdf
N1  - Author contact info:
Kenneth D. West
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI  53706
Tel: 608/262-0033
Fax: 608/262-2033
E-Mail: kdwest@wisc.edu

David Wilcox
Federal Reserve Board
20th and Constitution Avenue, NW
Washington, DC 20551
Tel: 202/452-2991
Fax: 202/452-5296
E-Mail: david.w.wilcox@frb.gov
AB  - 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.
ER  -