Add to ORKGIn 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 an autoregression with a conditionally heteroskedastic disturbance.TIME SERIES ; EVALUATION
The method of instrumental variables (IV) and the generalized method of moments (GMM) and their appl...
This paper studies instrumental-variables (IV) estimation for an error component model with nearly n...
In this paper, we show that for panel AR(p) models, an instrumental variable (IV) estimator with ins...
In many time series models, an infinite number of moments can be used for estimation in a large samp...
This PhD thesis focuses on instrumental variable models. Often, econometric models are based on orth...
This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variable...
For the basic dynamic panel data model we give an expression for the optimal instrumental variable (...
For the basic dynamic panel data model we give an expression for the optimal instrumental variable (...
This dissertation consists of three chapters, each of which proposes methods to deal with the “many ...
We propose and evaluate a technique for instrumental variables estimation of linear models with cond...
Instrumental variable estimation has a long history in econometrics. The first contributions took pl...
We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and...
This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimato...
This paper studies instrumental variables (IV) estimation for an error component model with stationa...
Instrumental variables are often associated with low estimator precision. This paper explores effici...
The method of instrumental variables (IV) and the generalized method of moments (GMM) and their appl...
This paper studies instrumental-variables (IV) estimation for an error component model with nearly n...
In this paper, we show that for panel AR(p) models, an instrumental variable (IV) estimator with ins...
In many time series models, an infinite number of moments can be used for estimation in a large samp...
This PhD thesis focuses on instrumental variable models. Often, econometric models are based on orth...
This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variable...
For the basic dynamic panel data model we give an expression for the optimal instrumental variable (...
For the basic dynamic panel data model we give an expression for the optimal instrumental variable (...
This dissertation consists of three chapters, each of which proposes methods to deal with the “many ...
We propose and evaluate a technique for instrumental variables estimation of linear models with cond...
Instrumental variable estimation has a long history in econometrics. The first contributions took pl...
We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and...
This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimato...
This paper studies instrumental variables (IV) estimation for an error component model with stationa...
Instrumental variables are often associated with low estimator precision. This paper explores effici...
The method of instrumental variables (IV) and the generalized method of moments (GMM) and their appl...
This paper studies instrumental-variables (IV) estimation for an error component model with nearly n...
In this paper, we show that for panel AR(p) models, an instrumental variable (IV) estimator with ins...