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Efficient instrumental variables estimation of systems of implicit heterogeneous nonlinear dynamic equations with nonspherical errors. (English) Zbl 0727.62108

Dynamic econometric modeling, Proc. 3rd Int. Symp. Econ. Theory Econ., Austin/TX (USA) 1986, 3-25 (1988).
[For the entire collection see Zbl 0722.00049.]
We provide results that allow determination of efficiency bounds for nonlinear instrumental variables (NLIV) estimators in contexts allowing for implicit heterogeneous nonlinear dynamic equations with nonspherical errors. The bounds are obtained as the asymptotic covariance matrices of specific NLIV estimators. These results therefore extend those of L. P. Hansen [J. Econ. 30, 203-238 (1985; Zbl 0588.62166)] to situations other than those of stationary ergodic processes. We also provide conditions that allow construction of feasible efficient NLIV estimators.

MSC:

62P20 Applications of statistics to economics
62H12 Estimation in multivariate analysis