The Instrumental Weighted Variables. Part II. Square root of n-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 2007/06, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: 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 the Part I of this paper are recalled. The reasons why the classical Instrumental Variables were introduced as well as the idea of implicit weighting the residuals (firstly employed by the Least Weighted Squares, see Víšek (2000)) are also recalled. Then square root of n-consistency of all solutions of the corresponding normal equations is proved.

Keywords: Robustness; instrumental variables; implicit weighting; square root of n-consistency of estimate by means of instrumental weighted variables (search for similar items in EconPapers)
Pages: 18 pages
Date: 2007-01, Revised 2007-01
New Economics Papers: this item is included in nep-ecm
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