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Optimal Instrumental Variable Estimator of the AR Parameter of an ARMA(1.1)

Published online by Cambridge University Press:  11 February 2009

Juan J. Dolado
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Abstract

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Type
Solutions
Information
Econometric Theory , Volume 6 , Issue 1 , March 1990 , pp. 117 - 119
Copyright
Copyright © Cambridge University Press 1990

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References

1.Hansen, L.P.Large sample properties of the generalized method of moments estimators. Econometrica 50 (1982): 1029–1054.CrossRefGoogle Scholar
2.Brockwell, P.J. & Davies, R.A. (1987), Time Series Theory and Methods, New York. Springer Verlag.CrossRefGoogle Scholar
3.Sargan, J.D. (1958), “The Estimation of Economic Relationships Using Instrumental Variables” Econometrica, 26, 393–415.CrossRefGoogle Scholar