Počet záznamů: 1

Consistency of the instrumental weighted variables

  1. 1.
    0365724 - UTIA-B 2012 RIV JP eng J - Článek v odborném periodiku
    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
    Grant ostatní:GA UK(CZ) GA402/09/0557
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Regression * Instruments * Consistency * Robustness
    Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
    Impakt faktor: 0.610, rok: 2009
    http://library.utia.cas.cz/separaty/2011/SI/visek-consistency of the instrumental weighted variables.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0200897