Number of the records: 1
Consistency of the instrumental weighted variables
- 1.0365724 - ÚTIA 2012 RIV JP eng J - Journal Article
Víšek, Jan Ámos
Consistency of the instrumental weighted variables.
Annals of the Institute of Statistical Mathematics. Roč. 61, č. 3 (2009), s. 543-578. ISSN 0020-3157. E-ISSN 1572-9052
Grant - others:GA UK(CZ) GA402/09/0557
Institutional research plan: CEZ:AV0Z10750506
Keywords : Regression * Instruments * Consistency * Robustness
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.610, year: 2009
http://library.utia.cas.cz/separaty/2011/SI/visek-consistency of the instrumental weighted variables.pdf
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.
Permanent Link: http://hdl.handle.net/11104/0200897
Number of the records: 1