Bibliografie

Journal Article

Consistency of the instrumental weighted variables

Víšek Jan Ámos

: Annals of the Institute of Statistical Mathematics vol.61, 3 (2009), p. 543-578

: CEZ:AV0Z10750506

: GA402/09/0557, GA UK

: Regression, Instruments, Consistency, Robustness

: 10.1007/s10463-007-0159-8

: http://library.utia.cas.cz/separaty/2011/SI/visek-consistency of the instrumental weighted variables.pdf

(eng): A robust version of method of Instrumental Variables accommodating the idea of an implicit weighting the residuals is proposed and its properties studied. Firstly, it is shown that all solutions of the corresponding normal equations are bounded in probability. Then the weak consistency of them is proved. The algorithm, evaluating the estimate, is described and results of small MC study discussed.

: BB