Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
为带有向量自回归移动平均误差的动态经济系统开发了工具变量估计量，推导了其渐近分布，并证明在较弱条件下滞后内生变量可作为有效工具变量，同时提出了检验误差过程阶数和工具变量有效性的统计量。
This paper develops the instrumental variables estimator for a possibly incomplete, dynamic economic system with vector autoregressive moving average disturbances. Its asymptotic distribution is derived and, under fairly weak conditions, it is shown that lagged endogenous variables may be validly included in the set of instruments. Statistics are proposed for testing the order of the error process and the validity of the instruments.