The Instrumental Variable (IV) Method of Time-Series Analysis

  • Peter Young
Part of the Communications and Control Engineering Series book series (CCE)


The recursive IV method of estimation has been discussed in Chapter 4 in relation to the estimation of parameters in structural models with errors-invariables. In the recursive IV algorithm (IV) it is required that we generate a vector of instrumental variables \(\underline {\hat X} _K\) at each recursive step. If this is possible, then it is easy to see why the IV modification is effective in removing the asymptotic bias from the estimates.


Instrumental Variable ARMA Model Unit Hydrograph Recursive Estimate Asymptotic Bias 
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Copyright information

© Springer-Verlag, Berlin, Heidelberg 1984

Authors and Affiliations

  • Peter Young
    • 1
  1. 1.University of LancasterLancaster, Lancs.England

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