On Optimal Instrumental Variables Estimation of Time Series Models
| Autor: | West, K.D. |
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| Rok vydání: | 1997 |
| Předmět: | |
| Popis: | 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 an autoregression with a conditionally heteroskedastic disturbance. TIME SERIES ; EVALUATION |
| Databáze: | OpenAIRE |
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