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The Instrumental Weighted Variables. Part I. Consistency

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Author Info
Jan Ámos Víšek () (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
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.

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Paper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2007/05.

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Length: 32 pages
Date of creation: Jan 2007
Date of revision: Jan 2007
Handle: RePEc:fau:wpaper:wp2007_05

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Keywords: Robustness instrumental variables implicit weighting consistency of estimate by instrumental weighted variables

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  1. Wadim Strielkowski, 2006. "People of the Road: the Role of Ethnic Origin in Migration Decisions. A Study of Slovak Roma Asylum-Seekers in the Czech Republic in 1998-2006," Working Papers IES 2006/32, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2006. [Downloadable!]
  2. Roman Horváth, 2007. "Estimating Time-Varying Policy Neutral Rate in Real Time," Working Papers IES 2007/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2007. [Downloadable!]
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