Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
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Publication:3394106
DOI10.1080/07474930802467241zbMath1168.62055OpenAlexW3125178992MaRDI QIDQ3394106
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
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)
Related Items
Kernel-weighted GMM estimators for linear time series models, Local GMM estimation of time series models with conditional moment restrictions, Instrumental variable estimation in the presence of many moment conditions, Efficient GMM estimation of weak AR processes.
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