Instrumental variables estimation of heteroskedastic linear models using all lags of instruments / Kenneth D. West, Ka-fu Wong, Stanislav Anatolyev.

Author/creator West, Kenneth D.
Other author Wong, Ka-fu.
Other author Anatolyev, Stanislav.
Other author National Bureau of Economic Research.
Format Electronic
Publication InfoCambridge, MA : National Bureau of Economic Research,
Supplemental ContentFull text available from NBER Working Papers
Supplemental ContentFull text available from NBER Working Papers

SeriesNBER working paper series ; working paper 13134
Working paper series (National Bureau of Economic Research : Online) ; working paper no. 13134. UNAUTHORIZED
Summary "We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and serial correlation of the disturbance. Use of parametric models allows one to exploit information in all lags of instruments, unconstrained by degrees of freedom limitations. Analytical calculations and simulations indicate that there sometimes are large asymptotic and finite sample efficiency gains relative to conventional estimators (Hansen (1982)), and modest gains or losses depending on data generating process and sample size relative to quasi-maximum likelihood. These results are robust to minor misspecification of the parametric models used by our estimator"--National Bureau of Economic Research web site.
General noteTitle from PDF file as viewed on 7/25/2007.
Bibliography noteIncludes bibliographical references.
Access restrictionAvailable only to authorized users.
Other formsAlso available in print.
Technical detailsMode of access: World Wide Web
Genre/formElectronic books.
LCCN 2007616288

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