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The Instrumental Weighted Variables. Part I. Consistency

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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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  • Jan Ámos Víšek, 2007. "The Instrumental Weighted Variables. Part I. Consistency," Working Papers IES 2007/05, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 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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