Publication detail

Víšek, J. Á. : Root-n-consistency of the instrumental weighted variables

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Article in collection
Year: 2009
Number: 0
ISSN / ISBN: 978-80-250-1965-8
Published in: Proceedings of the conference Statistics: Investment in the Future, 1 - 15
Publishing place: Prague
Keywords: root-n-consistency, robustification of instrumental variables
JEL codes:
Suggested Citation:
Abstract: 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 V\'{\i}\v{s}ek (2009) are recalled. The reasons why the classical Instrumental
Variables were introduced as well as the idea of
weighting the order statistics of squared residuals (rather than directly the squared residual - firstly employed by the Least Weighted
Squares, see V\'{\i}\v{s}ek (2000)) are also recalled. Then $\sqrt{n}$-consistency
of all solutions of the corresponding normal equations is proved.

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