Detail publikace

Víšek, J. Á. : The Instrumental Weighted Variables. Part II. Square root of n-consistency

Autor: prof. RNDr. Jan Ámos Víšek CSc.,
Typ: IES Working Papers
Rok: 2007
Číslo: 6
ISSN / ISBN:
Publikováno v: IES Working Papers
Místo vydání: Prague
Klíčová slova: Robustness, instrumental variables, implicit weighting, square root of n-consistency of estimate by means of instrumental weighted variables
JEL kódy:
Citace:
Granty: Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
Abstrakt: The definition of Instrumental Weighted Variables (IWV) (which is a robust version of the classical Instrumental Variables) and conditions for the weak consistency as given in the Part I of this paper are recalled. The reasons why the classical Instrumental Variables were introduced as well as the idea of implicit weighting the residuals (firstly employed by the Least Weighted Squares, see Víšek (2000)) are also recalled. Then square root of n-consistency of all solutions of the corresponding normal equations is proved.
Ke stažení: WP 2007_6 Visek

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