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The Instrumental Weighted Variables. Part III. Asymptotic Representation

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    Abstract

    The robust version of the classical instrumental variables, called Instrumental Weighted Variables (IWV) and the conditions for its square root of n-consistency as given in the Part I and II of this paper are recalled. Of course, the reasons why the classical instrumental variables as well as IWV were introduced and the idea of implicit weighting the residuals (firstly employed by the Least Weighted Squares, see Víšek (2000)) are also very briefly recalled (details were discussed in Part I of this paper). Then asymptotic representation and normality of all solutions of the corresponding normal equations is proved.

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    File URL: http://ies.fsv.cuni.cz/default/file/download/id/5031
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    Bibliographic Info

    Paper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2007/07.

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    Length: 38 pages
    Date of creation: Jan 2007
    Date of revision: Jan 2007
    Handle: RePEc:fau:wpaper:wp2007_07

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    Keywords: Robustness; instrumental variables; implicit weighting; square root of n-consistency of estimate by means of instrumental weighted variables; asymptotic representation of the estimate and its normality;

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