| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0338 |
| 来源ID | Technical Working Paper 0338 |
| Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments | |
| Kenneth D. West; Ka-fu Wong; Stanislav Anatolyev | |
| 发表日期 | 2007-05-29 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0338 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570802 |
| 推荐引用方式 GB/T 7714 | Kenneth D. West,Ka-fu Wong,Stanislav Anatolyev. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0338.pdf（303KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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