Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
使用预定但非严格外生工具变量的时间序列模型近有效估计
Particularly under the assumption of rational expectations, a model may have serially correlated errors and those errors may be uncorrelated with contemporaneous and lagged values of a predetermined instrument, yet the instruments may not be strictly exogenous. This paper proposes a method for transforming such a model to one without serial correlation, while keeping the instrument predetermined. Standard theory of instrumental variables estimation then applies. Furthermore,…