NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

On Optimal Instrumental Variables Estimation of Stationary Time Series Models

Kenneth D. West

NBER Technical Working Paper No. 249
Issued in January 2000
NBER Program(s):   TWP

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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Document Object Identifier (DOI): 10.3386/t0249

Published: West, Kenneth D. "On Optimal Instrumental Variables Estimation Of Stationary Time Series Models," International Economic Review, 2001, v42(4,Nov), 1043-1050.

 
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