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Optimal Instruments In Time Series: A Survey

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  • Stanislav Anatolyev

Abstract

This article surveys estimation in stationary time‐series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances – in single‐ and multiperiod models, in the absence and presence of conditional heteroskedasticity, by considering linear and non‐linear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but econometric theorists and teachers of graduate econometrics may also find it useful.

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  • Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
    • Handle: RePEc:bla:jecsur:v:21:y:2007:i:1:p:143-173
    DOI: 10.1111/j.1467-6419.2007.00501.x
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