Víšek, J. Á.: Consistency of the instrumental weighted variables
| Autor: | prof. RNDr. Jan Ámos Víšek CSc., |
|---|---|
| Typ: | Články v impaktovaných časopisech |
| Rok: | 2009 |
| Číslo: | 0 |
| ISSN / ISBN: | 0020-3157 |
| Publikováno v: | Annals of the Institute of Statistical Mathematics, 61(2009), 543 - 578 |
| Místo vydání: | Tokio |
| Klíčová slova: | Robustness, instrumental variables, implicit weighting, consistency of estimate by instrumental weighted variables. |
| JEL kódy: | |
| Citace: | |
| Granty: | 402/06/0408 Robustifikace zobecněné momentové metody |
| Abstrakt: | A robust version of method of Instrumental Variables accommodating the idea of an implicit weighting the residuals is proposed and its properties studied. Firstly, it is shown that all solutions of the corresponding normal equations are bounded in probability. Then the weak consistency of them is proved. The algorithm, evaluating the estimate, is described and results of small MC study discussed. |
