Instrumental weighted variables under heteroscedasticity part II - Numerical study
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F17%3A10360473" target="_blank" >RIV/00216208:11230/17:10360473 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.14736/kyb-2017-1-0026" target="_blank" >http://dx.doi.org/10.14736/kyb-2017-1-0026</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.14736/kyb-2017-1-0026" target="_blank" >10.14736/kyb-2017-1-0026</a>
Alternative languages
Result language
angličtina
Original language name
Instrumental weighted variables under heteroscedasticity part II - Numerical study
Original language description
Results of a numerical study of the behavior of the instrumental weighted variables estimator - in a competition with two other estimators - are presented. The study was performed under various frameworks (homoscedsticity/heteroscedasticity, several level and types of contamination of data, fulfilled/broken orthogonality condition). At the beginning the optimal values of eligible parameters of estimatros in question were empirically established. It was done under the various sizes of data sets and various levels of the contamination of data. These values were then utilized in the numerical study. Its results indicate that instrumental weighted variables are as good as S- and W -estimators and under heteroscedasticity even better. The weight function of Tukey's type was used.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
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Volume of the periodical
53
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
33
Pages from-to
26-58
UT code for WoS article
000400203500002
EID of the result in the Scopus database
2-s2.0-85016963227