Publication detail

Víšek, J. Á. : The Instrumental Weighted Variables. Part II. Square root of n-consistency

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: IES Working Papers
Year: 2007
Number: 6
ISSN / ISBN:
Published in: IES Working Papers
Publishing place: Prague
Keywords: Robustness, instrumental variables, implicit weighting, square root of n-consistency of estimate by means of instrumental weighted variables
JEL codes:
Suggested Citation:
Grants: IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
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 the Part I of this paper are recalled. The reasons why the classical Instrumental Variables were introduced as well as the idea of implicit weighting the residuals (firstly employed by the Least Weighted Squares, see Víšek (2000)) are also recalled. Then square root of n-consistency of all solutions of the corresponding normal equations is proved.
Downloadable: WP 2007_6 Visek

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