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On Optimal Instrumental Variables Estimation of Stationary Time Series Models / Kenneth D. West.
- Format:
- Book
- Author/Creator:
- West, Kenneth D.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0249.
- NBER technical working paper series no. t0249
- Language:
- English
- Subjects (All):
- Estimation theory.
- Measurement uncertainty (Statistics).
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2000.
- Cambridge, Massachusetts : National Bureau of Economic Research, 2000.
- Summary:
- 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.
- Notes:
- Print version record
- January 2000.
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