Title of article
Efficient GMM estimation of weak AR processes
Author/Authors
Kenneth D. West، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
4
From page
415
To page
418
Abstract
A simple argument is used to derive the optimal GMM estimator of a finite order autoregressive process whose innovation may be conditionally heteroskedastic.
Keywords
GMM , IV , Efficiency , Moment conditions , Instrumental variables
Journal title
Economics Letters
Serial Year
2002
Journal title
Economics Letters
Record number
434951
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