Publication detail

Víšek, J. Á. : The Instrumental Weighted Variables. Part III. Asymptotic Representation.

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: IES Working Papers
Year: 2007
Number: 7
Published in: IES Working Papers
Publishing place: Prague
Keywords: Robustness, instrumental variables, implicit weighting, square root of n-consistency of estimate by instrumental weighted variables, asymptotic representation of the estimate and its normality
JEL codes:
Suggested Citation: Víšek, J. A. (2007). “ The Instrumental Weighted Variables. Part III. Asymptotic Representation. ” IES Working Paper 7/2007. IES FSV. Charles University.
Grants: IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: The robust version of the classical instrumental variables, called Instrumental Weighted Variables (IWV) and the conditions for its square root of n-consistency as given in the Part I and II of this paper are recalled. Of course, the reasons why the classical instrumental variables as well as IWV were introduced and the idea of implicit weighting the residuals (firstly employed by the Least Weighted Squares, see Víšek (2000)) are also very briefly recalled (details were discussed in Part I of this paper). Then asymptotic representation and normality of all solutions of the corresponding normal equations is proved.
Downloadable: WP 2007_7 Visek


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