Publication detail

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

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Articles in journals with impact factor
Year: 2017
Number: 53
ISSN / ISBN: 0023-5954
Published in: Kybernetika 53, 26 - 58.
Publishing place: Praha
Keywords: Heteroscedasticity of disturbances, numerical study of instrumental weighted variables.
JEL codes:
Suggested Citation:
Grants: DYME – Dynamic Models in Economics
Abstract: 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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