On Optimal Instrumental Variables Estimation of Stationary Time Series Models
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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.
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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