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《A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、AComparisonofAlternativeInstrumentalVariablesEstimatorsofaDynamicLinearModelAuthor(s):KennethD.WestandDavidW.WilcoxReviewedwork(s):Source:JournalofBusiness&EconomicStatistics,Vol.14,No.3(Jul.,1996),pp.281-293Publishedby:AmericanStatisticalAssociationSt
2、ableURL:http://www.jstor.org/stable/1392443.Accessed:09/03/201309:57YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscho
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4、ricanStatisticalAssociationiscollaboratingwithJSTORtodigitize,preserveandextendaccesstoJournalofBusiness&EconomicStatistics.http://www.jstor.orgThiscontentdownloadedonSat,9Mar201309:57:37AMAllusesubjecttoJSTORTermsandConditionsAComparisonofAlternativeI
5、nstrumentalVariablesEstimatorsofaDynamicLinearModelKennethD.WESTDept.ofEconomics,UniversityofWisconsin,Madison,WI53706DavidW.WILcoxDivisionofMonetaryAffairs,BoardofGovernorsoftheFederalReserveSystem,Washington,DC20551Usingadynamiclinearequationthathasa
6、conditionallyhomoscedasticmovingaveragedistur-bance,wecomparetwoparameterizationsofacommonlyusedinstrumentalvariablesestimatortoonethatisasymptoticallyoptimalinaclassofestimatorsthatincludestheconventionalone.Wefindthat,forsomeplausibledata-generatingp
7、rocesses,theoptimaloneisdistinctlymoreef-ficientasymptotically.Simulationsindicatethatinsamplesofsizetypicallyavailable,asymptotictheorydescribesthedistributionoftheparameterestimatesreasonablywellbutthatteststatisticssometimesarepoorlysized.KEYWORDS:A
8、symptoticapproximation;Efficientestimation;Optimalestimation;Simulation;Teststatistics.Thisarticleusesasymptotictheoryandsimulationstobeuniquetoinventoryapplications,asisindicatedbythetoevaluateinstrumentalvariables(IV)estimatorsofaothe
