The Instrumental Weighted Variables. Part I. Consistency

Jan Ámos Víšek ()
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Jan Ámos Víšek: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic, http://ies.fsv.cuni.cz/

No 2007/05, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: A robust version of the method of Instrumental Variables accommodating the idea of an implicit weighting the residuals is proposed and its properties studied. (The idea of implicit weighting down the “suspicious” residuals was firstly employed by the method of the Least Weighted Squares, see Víšek (2000c).) It means that at first, it is shown that all solutions of the corresponding normal equations are bounded in probability. Finally, the weak consistency of them is proved.

Keywords: Robustness; instrumental variables; implicit weighting; consistency of estimate by instrumental weighted variables (search for similar items in EconPapers)
Pages: 32 pages
Date: 2007-01, Revised 2007-01
New Economics Papers: this item is included in nep-ecm
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