Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
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Publication:3321309
DOI10.2307/1912158zbMath0536.62097OpenAlexW1983867614MaRDI QIDQ3321309
Christopher A. Sims, Fumio Hayashi
Publication date: 1983
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912158
rational expectationsinstrumental variable estimatorgeneralized methods of moments estimatornearly efficient estimation of time series modelsnew estimation method
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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