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Consistency of the instrumental weighted variables
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SYSNO ASEP 0365724 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Consistency of the instrumental weighted variables Author(s) Víšek, Jan Ámos (UTIA-B) ORCID Number of authors 1 Source Title Annals of the Institute of Statistical Mathematics - ISSN 0020-3157
Roč. 61, č. 3 (2009), s. 543-578Number of pages 36 s. Language eng - English Country JP - Japan Keywords Regression ; Instruments ; Consistency ; Robustness Subject RIV BB - Applied Statistics, Operational Research CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000268509800002 DOI 10.1007/s10463-007-0159-8 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2012
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