Citation:
Anatolyev, Stanislav (2003) "The form of the optimal nonlinear instrument for multiperiod conditional moment restrictions", Econometric Theory, Vol. 19, No. 4, pp. 602-609
Abstract:
We present the form of the optimal instrument in a system of multiperiod conditional moment restrictions in the presence of conditional heteroskedasticity. Using Hansen's (1985, Journal of Econometrics 30, 203-228) and Hansen, Heaton, and Ogaki's (1988, Journal of the American Statistical Association 83, 863-871) work on efficiency bounds for generalized method of moments estimators, we show that this form is an autoregressive recurrence parametrized by a few auxiliary processes that are defined through a system of nonlinear stochastic restrictions, with a stability condition among them. In general, the system does not allow inversion and obtaining an explicit solution for the auxiliary parameters.
Paper in RePEc:
Paper in accepted version:
Presented at:
Indiana University, USA
Pennsylvania State University, USA
Rutgers University–New Brunswick, USA
University of British Columbia, Canada
University of Virginia, USA
University of Wisconsin–Madison, USA
Cited by:
Bruce E. Hansen and Kenneth D. West (2005) "Generalized Method of Moments and Macroeconomics", Journal of Business and Economic Statistics, Vol. 20, pp. 460-469.