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OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
Author(s) -
Anatolyev Stanislav
Publication year - 2007
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/j.1467-6419.2007.00501.x
Subject(s) - heteroscedasticity , estimator , econometrics , series (stratigraphy) , economics , theme (computing) , estimation , instrumentation (computer programming) , instrumental variable , computer science , mathematics , statistics , management , paleontology , operating system , biology
This article surveys estimation in stationary time‐series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances – in single‐ and multiperiod models, in the absence and presence of conditional heteroskedasticity, by considering linear and non‐linear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but econometric theorists and teachers of graduate econometrics may also find it useful.