Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Martins Filho, Carlos"

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Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems

Martins Filho, Carlos; Mandy, David M.
1998-08-01

This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator ...