Instrumental Variables Estimators for State Space Models of Time Series
The instrumental variable method, also known as the method of moments, has been used extensively both in the engineering and the econometric literature. For example, Ŝöderstrom and Stoica (1983), and Ljung (1987); and Bowden and Turkington (1984), White (1984), and Sagan (1988) are books, respectively, in engineering and econometrics, which discuss the method. There are also numerous journal articles cited in these books. In the econometric literatures, the instrumental variable method is usually . splied to statis regression models. In the engineering literature, the metod is .splied to (scalar-valued) dynamic processes in ARMA or related representations. When .splied to state space models, one usually converts them into equivalent ARMA or regression model forms before the method is .splied.
KeywordsInstrumental Variable Covariance Matrice Innovation Model Riccati Equation State Space Model
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