Víšek, J. Á. : Root-n-consistency of the instrumental weighted variables
| Autor: | prof. RNDr. Jan Ámos Víšek CSc., |
|---|---|
| Typ: | Články ve sborníku |
| Rok: | 2009 |
| Číslo: | 0 |
| ISSN / ISBN: | 978-80-250-1965-8 |
| Publikováno v: | Proceedings of the conference Statistics: Investment in the Future, 1 - 15 |
| Místo vydání: | Prague |
| Klíčová slova: | root-n-consistency, robustification of instrumental variables |
| JEL kódy: | |
| Citace: | |
| Abstrakt: | 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 V\'{\i}\v{s}ek (2009) are recalled. The reasons why the classical Instrumental Variables were introduced as well as the idea of weighting the order statistics of squared residuals (rather than directly the squared residual - firstly employed by the Least Weighted Squares, see V\'{\i}\v{s}ek (2000)) are also recalled. Then $\sqrt{n}$-consistency of all solutions of the corresponding normal equations is proved. |
