skip to content
On optimal instrumental variables estimation of stationary time series models Preview this item
ClosePreview this item
Checking...

On optimal instrumental variables estimation of stationary time series models

Author: Kenneth D West; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2000.
Series: NBER technical working paper series, no. 249.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: 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.
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Additional Physical Format: Print version:
West, Kenneth D. (Kenneth David).
On optimal instrumental variables estimation of stationary time series models.
Cambridge, Mass. : National Bureau of Economic Research, ©2000
(OCoLC)43778910
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Kenneth D West; National Bureau of Economic Research.
OCLC Number: 647409617
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (7, [1] pages).
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: NBER technical working paper series, no. 249.
Responsibility: Kenneth D. West.

Abstract:

Abstract: 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.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/647409617> # On optimal instrumental variables estimation of stationary time series models
    a schema:MediaObject, schema:CreativeWork, schema:Book ;
   library:oclcnum "647409617" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/3769140947#Place/cambridge_mass> ; # Cambridge, Mass.
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
   schema:about <http://id.worldcat.org/fast/1151190> ; # Time-series analysis
   schema:about <http://id.worldcat.org/fast/974426> ; # Instrumental variables (Statistics)
   schema:about <http://dewey.info/class/330/> ;
   schema:about <http://id.worldcat.org/fast/915531> ; # Estimation theory
   schema:bookFormat schema:EBook ;
   schema:contributor <http://viaf.org/viaf/135446122> ; # National Bureau of Economic Research.
   schema:copyrightYear "2000" ;
   schema:creator <http://viaf.org/viaf/67385738> ; # Kenneth David West
   schema:datePublished "2000" ;
   schema:description "Abstract: 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."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/3769140947> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/3769140947#Series/nber_technical_working_paper_series> ; # NBER technical working paper series ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/3769140947#Series/technical_working_paper_series> ; # Technical working paper series ;
   schema:isSimilarTo <http://www.worldcat.org/oclc/43778910> ;
   schema:name "On optimal instrumental variables estimation of stationary time series models"@en ;
   schema:productID "647409617" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/647409617#PublicationEvent/cambridge_mass_national_bureau_of_economic_research_2000> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/3769140947#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
   schema:url <http://papers.nber.org/t0249> ;
   schema:url <http://ezproxy.eui.eu/login?url=http://papers.nber.org/papers/> ;
   schema:url <http://catalog.hathitrust.org/api/volumes/oclc/43778910.html> ;
   schema:url <http://papers.nber.org/papers/t0249> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/647409617> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/3769140947#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
   schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/3769140947#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
   schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/3769140947#Series/nber_technical_working_paper_series> # NBER technical working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/647409617> ; # On optimal instrumental variables estimation of stationary time series models
   schema:name "NBER technical working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/3769140947#Series/technical_working_paper_series> # Technical working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/647409617> ; # On optimal instrumental variables estimation of stationary time series models
   schema:name "Technical working paper series ;" ;
    .

<http://id.worldcat.org/fast/1151190> # Time-series analysis
    a schema:Intangible ;
   schema:name "Time-series analysis"@en ;
    .

<http://id.worldcat.org/fast/915531> # Estimation theory
    a schema:Intangible ;
   schema:name "Estimation theory"@en ;
    .

<http://id.worldcat.org/fast/974426> # Instrumental variables (Statistics)
    a schema:Intangible ;
   schema:name "Instrumental variables (Statistics)"@en ;
    .

<http://viaf.org/viaf/135446122> # National Bureau of Economic Research.
    a schema:Organization ;
   schema:name "National Bureau of Economic Research." ;
    .

<http://viaf.org/viaf/67385738> # Kenneth David West
    a schema:Person ;
   schema:familyName "West" ;
   schema:givenName "Kenneth David" ;
   schema:givenName "Kenneth D." ;
   schema:name "Kenneth David West" ;
    .

<http://www.worldcat.org/oclc/43778910>
    a schema:CreativeWork ;
   rdfs:label "On optimal instrumental variables estimation of stationary time series models." ;
   schema:description "Print version:" ;
   schema:isSimilarTo <http://www.worldcat.org/oclc/647409617> ; # On optimal instrumental variables estimation of stationary time series models
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.