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

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 V??ek (2000)) are also recalled. Then square root of n-consistency of all solutions of the corresponding normal equations is proved.

Link	http://ies.fsv.cuni.cz/in…ublication=2018&lng=en_GB
Author	V?sek, J
Date	01-Jan-1970
Institute	Institute of Economic Studies
Tags	instrumental, variables, implicit, weighting