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英文文献：Optimal inference in dynamic models with conditional moment restrictions-带条件矩约束的动态模型的最优推理
英文文献作者：Bent Jesper Christensen,Michael S?rensen
英文文献摘要：
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 at least as efficient as the traditional optimal generalized method of moments estimator, and usually more efficient. The form of our optimal instruments resembles that from Newey (1990), but involves conditioning on the history of the stochastic process. In the special case of i.i.d. observations, our optimal estimator reduces to Newey’s. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments and the associated asymptotic distribution theory for general cases including non-martingale estimating functions and general history dependence. Examples involving time-varying conditional volatility and stochastic volatility are offered.
应用最优估计函数理论，导出了有条件力矩约束的动力学模型的最优工具。给出了效率的一般界，以及达到这个界的估计量。证明了最优估计量至少与传统的最优广义矩估计量方法一样有效，而且通常更有效。我们的最佳工具的形式类似于Newey(1990)，但涉及到随机过程的历史条件。在i - i - d观测的特殊情况下，我们的最优估计可简化为Newey估计。介绍了框架中的规范检验和假设检验。对一般情况，包括非鞅估计函数和一般历史依赖，给出了最优工具理论和相关的渐近分布理论。给出了时变条件波动和随机波动的例子。
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