Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

DOI10.1080/07474930802467241MaRDI QIDQ3394106zbMATH OpenOpenAlexFDO

Authors Kenneth D. West, Ka-fu Wong, Stanislav Anatolyev

Publication date 28 August 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/t0338.pdf

zbMATH Keywords

efficiencyinstrumental variablesstationary time seriesefficiency boundsoptimal instrument

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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Cites work

• A Consistent Method for the Selection of Relevant Instruments
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Adaptive estimation of regression models via moment restrictions
• Automatic Lag Selection in Covariance Matrix Estimation
• Autoregressive Conditional Density Estimation
• Causality effects in return volatility measures with random times
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
• Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
• Efficiency bound calculations for a time series model, with conditional heteroskedasticity
• Efficient GMM estimation of weak AR processes.
• Full-versus limited-information estimation of a rational-expectations model. Some numerical comparisons
• GMM inference when the number of moment conditions in large
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Generalized autoregressive conditional heteroscedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Redundancy of moment conditions

Cited in

(7)

• EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
• Efficient GMM estimation of weak AR processes.
• Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
• Kernel-weighted GMM estimators for linear time series models
• Instrumental variable estimation in the presence of many moment conditions
• Instrumental variables estimation with flexible distributions
• Local GMM estimation of time series models with conditional moment restrictions

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