Detail publikace

Víšek, J. Á. : White's estimator of covariance matrix for instrumental weighted variables

Autor: prof. RNDr. Jan Ámos Víšek CSc.,
Typ: Články ve sborníku
Rok: 2008
Číslo: 0
ISSN / ISBN:
Publikováno v: COMPSTAT 2008 Proccedings, 355 - 362.
Místo vydání: Porto, Portugal
Klíčová slova: Robustness, heteroscedasticity, Instrumental Weighted Variables, White estimator
JEL kódy: C51, C21, C23
Citace:
Granty: 402/06/0408 Robustifikace zobecněné momentové metody
Abstrakt: Under heteroscedasticity of disturbances the significances of
explanatory variables in a linear regression model have to be
established employing the White estimator of covariance matrix
of the (Ordinary) Least Squares estimator of regression
coefficients. When the orthogonality condition is broken the
Instrumental Variables (in econometrics, sociology, etc.) or the
Total Least Squares (in natural sciences) are used to preserve
unbiasedness of estimation. If moreover, data are contaminated a
robust version of instrumental variables called the
Instrumental Weighted Variables is to be used to cope both with the
break of orthogonality condition as well as with contamination.
Significance of explanatory variables (and of instruments) is to be
examined by a robust version of White estimator of covariance
matrix.

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