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Consistency of the instrumental weighted variables

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Abstract

A robust version of method of Instrumental Variables accommodating the idea of an implicit weighting the residuals is proposed and its properties studied. Firstly, it is shown that all solutions of the corresponding normal equations are bounded in probability. Then the weak consistency of them is proved. The algorithm, evaluating the estimate, is described and results of small MC study discussed.

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Authors and Affiliations

  1. Department of Stochastic Informatics, Institute of Information Theory & Automation, Academy of Sciences of the Czech Republic, Praha 8, Czech Republic

    Jan Ámos Víšek

  2. Department of Macroeconomics and Econometrics, Faculty of Social Sciences, Charles University, Smetanovo nábřeží 6, 110 01, Prague 1, Czech Republic

    Jan Ámos Víšek

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  1. Jan Ámos Víšek
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Correspondence to Jan Ámos Víšek.

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Research was supported by grant of GA ČR number 402/06/0408.

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Víšek, J.Á. Consistency of the instrumental weighted variables. Ann Inst Stat Math 61, 543–578 (2009). https://doi.org/10.1007/s10463-007-0159-8

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  • DOI: https://doi.org/10.1007/s10463-007-0159-8

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