On optimal instrumental variables estimation of stationary time series models

International Economic Review

Volumn 42, Issue 4, 2001, Pages 1043-1050

  West, Kenneth D ^a  

^a UNIVERSITY OF WISCONSIN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347751007     PISSN: 00206598     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-2354.00145     Document Type: Article

References (17)

1. ANDERSON, T. W., The Statistical Analysis of Time Series (New York: Wiley, 1971).
2. BATES, C. A., AND H. WHITE, "Efficient Instrumental Variables Estimation for Systems of Implicit Heterogeneous Nonlinear Dynamic Equations With Nonspherical Errors," in E. Berndt and H. White, eds., Dynamic Econometric Modeling (New York: Cambridge University Press, 1990), pp. 3-25.
3. _ AND _, "Determination of Estimators With Minimum Asymptotic Covariance Matrices," Econometric Theory (1993), 633-48.
4. BREUSCH, T., HIALONG, P. SCHMIDT, AND D. WYHOWSKI, "Redundancy of Moment Conditions," Journal of Econometrics 91 (1999), 89-111.
5. HANSEN, L. P., "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica 50 (1982), 1029-54.
6. _, "A Method for Calculating Bounds on the Asymptotic Variance-Covariance Matrices of Generalized Method of Moments Estimators," Journal of Econometrics 30 (1985a), 203-228.
7. _, "Using Martingale Difference Approximations to Obtain Covariance Matrix Bounds for Generalized Method of Moments Estimators," manuscript, University of Chicago, 1985b.
8. _, J. C. HEATON, AND M. OGAKI, "Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions," Journal of the American Statistical Association 83 (1988), 863-71.
9. _ AND K. J. SINGLETON, "Computing Semi-Parametric Efficiency Bounds for Linear Time Series Models," in W. Barnett, J. Powell, and G. Tauchen, eds., Nonparametric and Semiparametric Methods in Econometrics and Statistics (Cambridge: Cambridge University Press, 1991), pp. 387-412.
10. HAYASHI, F., AND C. A. SIMS, "Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments," Econometrica 51 (1983), 783-98,
11. HEATON, J. C., AND M. OGAKI, "Efficiency Bounds for a Time Series Model With Conditional Heteroskedasticity," Economics Letters 35 (1991), 167-71.
12. KUERSTEINER, G. M., "Efficient IV Estimation for Autoregressive Models with Conditional Heterogeneity," manuscript, Yale University, 1996.
13. NEWEY, W. K., "Adaptive Estimation of Regression Models via Moment Restrictions," Journal of Econometrics 38 (1988), 301-39.
14. WEISS, A. A., "ARMA Models with ARCH Errors," Journal of Time Series Analysis 5 (1984), 129-43.
15. WEST, K. D., "Optimal Instrumental Variables Estimation," manuscript, University of Wisconsin, 1994.
16. _ AND D. W. WILCOX, "A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model," Journal of Business and Economic Statistics 14 (1996), 281-93.
17. _, K.-F. WONG, AND STANISLAV ANATOLYEV, "Optimal Instrumental Variables Estimation of Linear Models in the Presence of Heteroskedasticity," manuscript, University of Wisconsin, 1998.