Publication detail

Víšek, J. Á. : White's estimator of covariance matrix for instrumental weighted variables

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Article in collection
Year: 2008
Number: 0
Published in: COMPSTAT 2008 Proccedings, 355 - 362.
Publishing place: Porto, Portugal
Keywords: Robustness, heteroscedasticity, Instrumental Weighted Variables, White estimator
JEL codes: C51, C21, C23
Suggested Citation:
Grants: 402/06/0408 Robustification of generalized moment method
Abstract: Under heteroscedasticity of disturbances the significances of
explanatory variables in a linear regression model have to be
established employing the White estimator of covariance matrix
of the (Ordinary) Least Squares estimator of regression
coefficients. When the orthogonality condition is broken the
Instrumental Variables (in econometrics, sociology, etc.) or the
Total Least Squares (in natural sciences) are used to preserve
unbiasedness of estimation. If moreover, data are contaminated a
robust version of instrumental variables called the
Instrumental Weighted Variables is to be used to cope both with the
break of orthogonality condition as well as with contamination.
Significance of explanatory variables (and of instruments) is to be
examined by a robust version of White estimator of covariance
Downloadable: Paper in pdf




Patria Finance
Česká Spořitelna