By Stanislav Anatolyev
Journal of Economic Surveys
Volume 21 Issue 1, Pages 143 - 173
This article surveys estimation in stationary time-series models usingthe approach of optimal instrumentation. We review tools that allow constructionand implementation of optimal instrumental variables estimators in variouscircumstances – in single- and multiperiod models, in the absence and presence ofconditional heteroskedasticity, by considering linear and non-linear instruments.We also discuss issues adjacent to the theme of optimal instruments. The articleis directed primarily towards practitioners, but econometric theorists and teachersof graduate econometrics may also find it useful.
See the paper at:
http://www3.interscience.wiley.com/journal/117999553/abstract
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