Optimal instruments in time series: A survey

Journal of Economic Surveys

Volumn 21, Issue 1, 2007, Pages 143-173

  Anatolyev, Stanislav ^a  

^a NEW ECONOMIC SCHOOL   (Russian Federation)

Author keywords

Efficiency bounds; Instrumental variables estimation; Moment restrictions; Optimal instrument; Stationary time series

Indexed keywords

ECONOMETRICS; EFFICIENCY MEASUREMENT; ESTIMATION METHOD; MODELING; TIME SERIES ANALYSIS;

EID: 33846694026     PISSN: 09500804     EISSN: 14676419     Source Type: Journal    
DOI: 10.1111/j.1467-6419.2007.00501.x     Document Type: Article

References (90)

1. Amemiya, T. (1974) The non-linear two-stage least-squares estimator. Journal of Econometrics 2: 105-110.
2. Anatolyev, S. (1999) Nonparametric estimation of non-linear rational expectations models. Economics Letters 62: 1-6.
3. Anatolyev, S. (2002a) Autoregression and redundant instruments. Econometric Theory 18, Problem 02.6.2; 19, Solution 02.6.2.
4. Anatolyev, S. (2002b) Approximately optimal instrument for multiperiod conditional moment restrictions. Manuscript, New Economic School.
5. Anatolyev, S. (2003a) Redundancy of lagged regressors in a conditionally heteroskedastic time-series regression. Econometric Theory 18, Problem 03.1.2.
6. Anatolyev, S. (2003b) The form of the optimal non-linear instrument for multiperiod conditional moment restrictions. Econometric Theory 19: 602-609.
7. Anatolyev, S. (2005) GMM, GEL, serial correlation and asymptotic bias. Econometrica 73: 983-1002.
8. Anatolyev, S. (2007) Redundancy of lagged regressors revisited. Econometric Theory 23: 364-368.
9. Andrews, D. W. K. (1999) Consistent moment selection procedures for generalized method of moment estimation. Econometrica 67: 543-564.
10. Bates, C. E. and White, H. (1988) Efficient instrumental variables estimation of systems of implicit heterogeneous non-linear dynamic equations with nonspherical errors. In: W.A. Barnett, E.R. Berndt and H. White (eds.), Dynamic Econometric Modeling. Cambridge University Press: Cambridge, UK.
11. Bates, C. E. and White, H. (1993) Determination of estimators with minimum asymptotic covariance matrices. Econometric Theory 9: 633-648.
12. Bougerol, P. and Picard, N. (1992) Strict stationarity of generalized autoregressive processes. Annals of Probability 20: 1714-1730.
13. n with stationary coefficients. Advances in Applied Probability 18: 211-220
14. Breusch, T., Qian, H., Schmidt, P. and Wyhowski, D. (1999) Redundancy of moment conditions. Journal of Econometrics 91: 89-111.
15. Broze, L., Francq, C. and Zakoïan, J.-M. (2001) Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. Economics Letters 71: 317-322.
16. Carrasco, M. (2004) Redundancy of lagged regressors in a conditionally heteroskedastic time-series regression. Econometric Theory 19: Solution 03.1.2.
17. Carroll, R. J. (1982) Adapting for heteroscedasticity in linear models. Annals of Statistics 10: 1224-1233.
18. Chamberlain, G. (1987) Asymptotic efficiency in estimation with conditional moment restrictions. Journal of Econometrics 34: 305-334.
19. Chamberlain, G. (1992) Comment: Sequential moment restrictions in panel data. Journal of Business and Economic Statistics 10: 20-26.
20. Dhaene, G. (2004) Redundancy of lagged regressors in a conditionally heteroskedastic time-series regression. Econometric Theory 19, Solution 03.1.2.
21. Dolado, J. (1990) Optimal instrumental variable estimator of the AR parameter of an ARMA(1,1) process. Econometric Theory 6: 117-119.
22. Donald, S. G. and Newey, W. K. (2001) Choosing the number of instruments. Econometrica 69: 1161-1191.
23. Donald, S. G., Imbens, G. W. and Newey, W. K. (2003) Empirical likelihood estimation and consistent tests with conditional moment restrictions. Journal of Econometrics 117: 55-93.
24. Dunn, K. and Singleton, K. (1986) Modeling the term structure of interest rates under nonseparable utility and durability of goods. Journal of Financial Economics 17: 27-55.
25. Eichenbaum, M. S., Hansen, L. P. and Singleton, K. J. (1988) A time-series analysis of representative agent models of consumption and leisure choice under uncertainty. Quarterly Journal of Economics 103: 51-78.
26. Epstein, L. G. and Zin, S. E. (1991) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. Journal of Political Economy 99: 263-286.
27. Fama, E. (1975) Short-term interest rates as predictors of inflation. American Economic Review 65: 269-282.
28. Fan, J. and Ullah, A. (1999) Asymptotic normality of a combined regression estimator. Journal of Multivariate Analysis 85: 191-240.
29. Ferson, W. E. and Constantinides, G. M. (1991) Habit persistence and durability in aggregate consumption. Journal of Financial Economics 29: 199-240.
30. Ghysels, E. and Hall, A. R. (2002) Interview with Lars Peter Hansen. Journal of Business and Economic Statistics 20: 442-447.
31. Glad, I. K. (1998) Parametrically guided non-parametric regression. Scandinavian Journal of Statistics 25: 649-668.
32. Gordin, M. I. (1969) The central limit theorem for stationary processes. Soviet Mathematics Doklady 10: 1174-1176.
33. Grossman, S., Melino, A. and Shiller, R. J. (1987) Estimating the continuous time consumption-based asset pricing model. Journal of Business and Economic Statistics 5: 315-327.
34. Hall, A. R. (2005) Generalized Method of Moments. Oxford: Oxford University Press.
35. Hall, R. E. (1988) Intertemporal substitution in consumption. Journal of Political Economy 96: 339-357.
36. Hall, A. R. and Peixe, F. P. M. (2003) A consistent method for the selection of relevant instruments. Econometric Reviews 22: 269-287.
37. Hahn, J. (1997) Efficient estimation of panel data models with sequential moment restrictions. Journal of Econometrics 79: 1-21.
38. Hahn, J. (2002) Optimal inference with many instruments. Econometric Theory 18: 140-168.
39. Hansen, L. P. (1982) Large sample properties of generalized method of moments estimators. Econometrica 50: 1029-1054.
40. Hansen, L. P. (1985) A method for calculating bounds on the asymptotic variance-covariance matrices of generalized method of moments estimators. Journal of Econometrics 30: 203-228.
41. Hansen, L. P. (2002) Methods of moments. In N. J. Smelser and P. B. Bates (eds.), International Encyclopedia of the Social & Behavioral Sciences. Amsterdam: Elsevier Publishing.
42. Hansen, L. P. and Hodrick, R. J. (1980) Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. The Journal of Political Economy 88: 829-853.
43. Hansen, L. P. and Singleton, K. J. (1982) Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica 50: 1269-1286.
44. Hansen, L. P. and Singleton, K. J. (1991) Computing semiparametric efficiency bounds for linear time-series models. In: W. A. Barnett, J. Powell and G. E. Tauchen (eds.), Nonparametric and Semiparametric Methods in Econometrics and Statistics. Cambridge: Cambridge University Press.
45. Hansen, L. P. and Singleton, K. J. (1996) Efficient estimation of linear asset pricing models with moving-average errors. Journal of Business and Economic Statistics 14: 53-68.
46. Hansen, B. and West, K. D. (2002) Generalized method of moments and macroeconomics. Journal of Business and Economic Statistics 20: 460-469.
47. Hansen, L. P., Heaton, J. C. and Ogaki, M. (1988) Efficiency bounds implied by multiperiod conditional moment restrictions. Journal of the American Statistical Association 83: 863-871.
48. Harris, D. (1999) GMM estimation of time-series models. In László Mátyás (ed.), Generalized Method of Moments Estimation. Cambridge: Cambridge University Press.
49. Hayashi, F., and Sims, C. (1983) Nearly efficient estimation of time-series models with predetermined, but not exogenous, instruments. Econometrica 51: 783-798.
50. Heaton, J. C. and Ogaki, M. (1991) Efficiency bounds calculations for a time series model, with conditional heteroskedasticity. Economics Letters 35: 167-171.
51. Holman, J. (1998) GMM estimation of a money-in-the-utility-function model: The implications of functional forms. Journal of Money, Credit, and Banking 30: 679-698.
52. Hotz, V. J., Kydland, F. E. and Sedlacek, G. L. (1988) Intertemporal preferences and labor supply. Econometrica 56: 335-360.
53. Imbens, G. (2002) Generalized method of moments and empirical likelihood. Journal of Business and Economic Statistics 20: 493-506.
54. Keane, M. P. and Runkle, D. E. (1992) On the estimation of panel data models with serial correlation when instruments are not strictly exogenous. Journal of Business and Economic Statistics 10: 1-10.
55. Kim, Y., Qian, H. and Schmidt, P. (1999) Efficient GMM and MD estimation of autoregressive models. Economics Letters 62: 265-270.
56. Kocherlakota, N. R. (1990) On tests of representative consumer asset pricing models. Journal of Monetary Economics 26: 285-304.
57. Koenker, R. and Machado, J. A. F. (1999) GMM inference when the number of moment conditions is large. Journal of Econometrics 93: 327-344.
58. Kuersteiner, G. M. (2001) Optimal instrumental variables estimation for ARMA models. Journal of Econometrics 104: 359-405.
59. Kuersteiner, G. M. (2002) Efficient IV estimation for autoregressive models with conditional heteroskedasticity. Econometric Theory 18: 547-583.
60. Kuersteiner, G. M. (2006) Moment selection and bias reduction for GMM in conditionally heteroskedastic models. In D. Corbea, S. Durlauf and B. E. Hansen (eds.), Econometric Theory and Practice: Frontiers of Analysis and Applied Research: Essays in Honor of Peter C. B. Phillips. Cambridge: Cambridge University Press.
61. Linton, O. and Mammen, E. (2005) Estimating semiparametric ARCH(∞) models by kernel smoothing methods. Econometrica 73: 771-836.
62. Mankiw, N. G., Rotemberg, J. J. and Summers, L. H. (1985) Intertemporal substitution in macroeconomics. Quarterly Journal of Economics 100: 225-251.
63. Mark, N. C. (1985) On time varying risk premia in the foreign exchange market: An econometric analysis. Journal of Monetary Economics 16: 3-18.
64. Marshall, D. A. (1992) Inflation and asset returns in a monetary economy. Journal of Finance 47: 1315-1342.
65. Meddahi, N. and Renault, E. (2004) Temporal aggregation of volatility models. Journal of Econometrics 119: 355-379.
66. Meddahi, N., Renault, E. and Werker, B. (2006) GARCH and irregularly spaced data. Economics Letters 90: 200-204.
67. Mishkin, F. (1990) What does the term structure tell us about future inflation? Journal of Monetary Economics 25: 77-95.
68. Mishra, S., Su, L. and Ullah, A. (2004) Combined estimator of time-series conditional heteroskedasticity. Presented at Econometric Society World Congress in London, 2005.
69. Newey, W. K. (1990) Efficient instrumental variables estimation of non-linear models. Econometrica 58: 809-837.
70. Newey, W. K. (1993) Efficient estimation of models with conditional moment restrictions. In Handbook of Statistics, Vol. 11, Ch. 16. Elsevier Science, Amsterdam: North Holland.
71. Newey, W. K. and Smith, R. J. (2004) Higher order properties of GMM and generalized empirical likelihood estimators. Econometrica 72: 219-255.
72. Pagan, A. and Ullah, A. (1999) Non-Parametric Econometrics. Cambridge: Cambridge University Press.
73. Pinkse, J. (2005) Heteroskedasticity correction and reinstrumenting. Working Paper, Pennsylvania State University.
74. Robinson, P. (1987) Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form. Econometrica 55: 875-891.
75. Schmidt, P., Ahn, S. C. and Wyhowski, D. (1992) Comment. Journal of Business and Economic Statistics 10: 10-14.
76. Smith, D. C. (1999) Finite sample properties of tests of the Epstein-Zin asset pricing model. Journal of Econometrics 93: 113-148.
77. Smith, R. (2005) Automatic positive semidefinite HAC covariance matrix and GMM estimation. Econometric Theory 21: 158-170.
78. Stambaugh, R. F. (1993) Estimating conditional expectations when volatility fluctuates. NBER Working Paper No. t0140.
79. Stoica, P., Söderström, T., and Friedlander, B. (1985) Optimal instrumental variable estimates of the AR parameters of an ARMA process. IEEE Transactions on Automatic Control 30: 1066-1074.
80. Stoica, P., Söderström, T., and Friedlander, B. (1987) Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process. International Journal of Control 45: 2083-2107.
81. Tauchen, G. (1986) Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data. Journal of Business and Economic Statistics 4: 397-416.
82. Tjøstheim, D. and Auestad, B. (1994) Non-parametric identification of non-linear time-series: Selecting significant lags. Journal of American Statistical Association 89: 1410-1419.
83. Tschernig, R. and Yang, L. (2000) Non-parametric lag selection for time series. Journal of Time-Series Analysis 21: 457-487.
84. Weber, C. E. (2000) 'Rule-of-thumb' consumption, intertemporal substitution, and risk aversion. Journal of Business and Economic Statistics 18: 497-502.
85. Weber, C. E. (2002) Intertemporal non-separability and 'rule of thumb' consumption. Journal of Monetary Economics 49: 293-308.
86. West, K. D. (2001) On optimal instrumental variables estimation of stationary time-series models. International Economic Review 42: 1043-1050.
87. West, K. D. (2002) Efficient GMM estimation of weak AR processes. Economics Letters 75: 415-418.
88. West, K. D. and Wilcox, D. W. (1996) A comparison of alternative instrumental variables estimators of a dynamic linear model. Journal of Business and Economic Statistics 14: 281-293.
89. West, K. D., Wong, K.-F. and Anatolyev, S. (2002) Instrumental variables estimation of heteroskedastic linear models using all lags of instruments. Working Paper, University of Wisconsin-Madison.
90. Working, H. (1960) Note on the correlation of first differences of averages in a random chain. Econometrica 28: 916-918.