TY  - JOUR
AU  - West,Kenneth D.
TI  - On Optimal Instrumental Variables Estimation of Stationary Time Series Models
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 249
PY  - 2000
Y2  - January 2000
UR  - http://www.nber.org/papers/t0249
L1  - http://www.nber.org/papers/t0249.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
AB  - 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.
ER  -