@techreport{NBERt0249,
 title = "On Optimal Instrumental Variables Estimation of Stationary Time Series Models",
 author = "Kenneth D. West",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "249",
 year = "2000",
 month = "January",
 URL = "http://www.nber.org/papers/t0249",
 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 conditionally heteroskedastic disturbance.},
}