Optimal Instruments in Time Series: A Survey

31 Pages Posted: 26 Jan 2007

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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.

Suggested Citation

Anatolyev, Stanislav, Optimal Instruments in Time Series: A Survey. Journal of Economic Surveys, Vol. 21, No. 1, pp. 143-173, February 2007, Available at SSRN: https://ssrn.com/abstract=959497 or http://dx.doi.org/10.1111/j.1467-6419.2007.00501.x

Stanislav Anatolyev (Contact Author)

New Economic School ( email )

Skolkovskoe shosse, 45
Moscow, 121353

CERGE-EI ( email )

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7 Politickych veznu
Prague 1, 111 21
Czech Republic

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