Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

Kenneth D. West, Ka-fu Wong, Stanislav Anatolyev

NBER Technical Working Paper No. 338
Issued in May 2007

---- Acknowledgements -----

The authors are listed in the order that they became involved in this project. We thank two anonymous referees and various seminar audiences for helpful comments, and the National Science Foundation for financial support. Correspondence: Kenneth D. West, Department of Economics, University of Wisconsin, 1180 Observatory Drive, Madison, WI 53706. Email: kdwest@wisc.edu. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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