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On Optimal Instrumental Variables Estimation of Stationary Time Series Models
Author(s) -
West Kenneth D.
Publication year - 2001
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/1468-2354.00145
Subject(s) - heteroscedasticity , instrumental variable , series (stratigraphy) , estimation , uncorrelated , mathematics , econometrics , parametric statistics , generalized method of moments , parametric model , mathematical optimization , economics , statistics , panel data , paleontology , management , biology
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 disturbance that is serially uncorrelated and conditionally heteroskedastic.