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The Instrumental Weighted Variables. Part II. Square root of n-consistency

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Abstract

The 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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  • Jan Ámos Víšek, 2007. "The Instrumental Weighted Variables. Part II. Square root of n-consistency," Working Papers IES 2007/06, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2007.
  • Handle: RePEc:fau:wpaper:wp2007_06
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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.
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    Keywords

    Robustness; instrumental variables; implicit weighting; square root of n-consistency of estimate by means of instrumental weighted variables;

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