Publications → Governance and Social Issues

The Instrumental Weighted Variables. Part I. Consistency

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 V??ek (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.

Link	http://ies.fsv.cuni.cz/in…ublication=2011&lng=en_GB
Author	V?sek, J
Date	30-May-2007
Institute	Institute of Economic Studies
Tags	instrumental, variables, implicit, weighting