Detail publikace

Víšek, J. Á.: Instrumental weighted variables under heteroscedasticity. Part II. Numerical study.

Autor: prof. RNDr. Jan Ámos Víšek CSc.,
Typ: Články v impaktovaných časopisech
Rok: 2017
Číslo: 53
ISSN / ISBN: 0023-5954
Publikováno v: Kybernetika 53, 26 - 58.
Místo vydání: Praha
Klíčová slova: Heteroscedasticity of disturbances, numerical study of instrumental weighted variables.
JEL kódy:
Citace:
Granty: DYME – Dynamic Models in Economics
Abstrakt: Results of a numerical study of the behavior of the instrumental weighted variables estimator
- in a competition with two other estimators - are presented. The study was performed under
various frameworks (homoscedsticity/heteroscedasticity, several level and types of contamina-
tion of data, ful lled/broken orthogonality condition). At the beginning the optimal values of
eligible parameters of estimatros in question were empirically established. It was done under
the various sizes of data sets and various levels of the contamination of data. These values were
then utilized in the numerical study. Its results indicate that instrumental weighted variables
are as good as S- and W-estimators and under heteroscedasticity even better. The weight
function of Tukey's type was used.

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