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Optimal inference for instrumental variables regression with non-Gaussian errors

✍ Scribed by Matias D. Cattaneo; Richard K. Crump; Michael Jansson


Book ID
113700307
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
445 KB
Volume
167
Category
Article
ISSN
0304-4076

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## Abstract This paper considers maximum likelihood estimation in a regression model when the errors follow a first‐order moving average model which is non‐invertible or nearly non‐invertible. The latter corresponds to a moving average parameter θ that is equal to or close to 1. The joint limiting