Bibliography
Conference Paper (international conference)
Robust instrumental variables and specification test
: Zborník konferencie PRASTAN 2000, p. 133-164 , Eds: Kalina M.
: STU SF, (Bratislava 2001)
: PRASTAN 2000, (Bezovec, SK, 22.05.2000-26.05.2000)
: AV0Z1075907
: 255/2000/A EK/FSV, GA UK
: instrumental M-estimators, asymptotic representation and normality, specification test
(eng): Employing nowadays standard technique of asymptotic linearity Bahadur representation of instrumental(IME) and ordinary M-estimators under assumption that explanatory variables are correlated with disturbances in the linear model is derived. It allows to prove asymptotic normality of both types of estimators. Since the results for IME is valid also when the explanatory variables and disturbances are independent, robustified version of specification test can be established and its behaviour described.
: 12B
: BB