Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008
By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional … estimator, and usually more efficient. The form of our optimal instruments resembles that from Newey (1990), but involves … Newey’s. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments …