OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
综述了在平稳时间序列模型中利用最优工具变量方法进行估计的技术，涵盖单期与多期模型、条件异方差存在与否以及线性和非线性工具变量，主要面向实践者，也对计量理论学者和研究生教学有用。
Abstract This article surveys estimation in stationary time‐series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances – in single‐ and multiperiod models, in the absence and presence of conditional heteroskedasticity, by considering linear and non‐linear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but econometric theorists and teachers of graduate econometrics may also find it useful.