On Optimal Instrumental Variables Estimation of Stationary Time Series Models
| Author | : Kenneth D. West |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2000 |
| ISBN-13 | : UCSC:32106012288152 |
| ISBN-10 | : |
| Rating | : 4/5 ( Downloads) |
Book Synopsis On Optimal Instrumental Variables Estimation of Stationary Time Series Models by : Kenneth D. West
Download or read book On Optimal Instrumental Variables Estimation of Stationary Time Series Models written by Kenneth D. West and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
