Instrumental variable methods are often used for parameter estimation in the presence of confounding. They can also be applied in stochastic processes. Instrumental variable analysis exploits moment equations to obtain estimators for causal parameters. We show that in stochastic processes one can find such moment equations using an integrated covariance matrix. This provides new instrumental variable methods, instrumental variable methods in a class of continuous-time processes as well as a unified treatment of discrete- and continuous-time processes.

翻译：工具变量方法常用于存在混杂因素时的参数估计，也可应用于随机过程。工具变量分析利用矩方程来获取因果参数的估计量。我们表明，在随机过程中，可以通过积分协方差矩阵找到这类矩方程。这提供了新的工具变量方法、一类连续时间过程中的工具变量方法，以及离散时间和连续时间过程的统一处理方式。