By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...

We consider a class of vector nonlinear error correction models where the transfer function (or loadings) of the stationary relationships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties of...