The Instrumental Weighted Variables. Part II. Square root of n-consistency
AbstractThe 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.
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Bibliographic InfoPaper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2007/06.
Length: 18 pages
Date of creation: Jan 2007
Date of revision: Jan 2007
Robustness; instrumental variables; implicit weighting; square root of n-consistency of estimate by means of instrumental weighted variables;
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