On Optimal Instrumental Variables Estimation of Stationary Time Series Models
Technical Working Paper 0249
DOI 10.3386/t0249
Issue Date
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 Versions
West, Kenneth D. "On Optimal Instrumental Variables Estimation Of Stationary Time Series Models," International Economic Review, 2001, v42(4,Nov), 1043-1050.