This paper considers the instrumental variables (IV) estimation of the autoregressive
distributed lag (ADL) model consisting of fractionally integrated regressors and errors, while
allowing for part of the regressors to be endogenous. The idea of Liviatan (1963) and that of
Tsay (2007) are combined to construct consistent and asymptotically normally distributed
multiple-differenced two-stage-least-squares (MD-TSLS) and MD generalized method of
moments (MD-GMM) estimators for the long memory ADL model. The simulations show that …