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Instrumental weighted variables - algorithm
The algorithm for evaluating the Instrumental weighted variables is described and discussed.
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Instrumental weighted variables
Robustified version of the instrumental variables is proposed and their asymptotics studied.
BA - Obecná matematika
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Consistency of the instrumental weighted variables
For the robustified version of the classical instrumental variables the consistency is proved. The idea of weighting order statistics of the squared residuals is recalled and discussed in ditailes. Algorithm for evaluation ...
BA - Obecná matematika
- 2009 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Root-consistency of the instrumental weighted variables
Root-consistence of the instrumental weighted variables is provved. Paper is a continuation of the paper proving just consistency (which appeared in the Annals of the Institute of Statistical Mathematics)....
BA - Obecná matematika
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
Asymptotic Representation Of The Instrumental Weighted Variables - Theory And Practice: Part II - numerical study
The behavior of the robust version of the classical instrumental variables, called instrumental weighted variables, and their asymptotic representation is studied by means of the Monte Carlo experiments un...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Asymptotic Representation Of The Instrumental Weighted Variables - Theory And Practice: Part I - deriving the formula for the asymptotic representation
The robust version of the classical instrumental variables, called Instrumental Weighted Variables (IWV) and the conditions for its consistency and $sqrt{n}$-consistency are recalled. The reasons why the c...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Instrumental weighted variables under heteroscedasticity part II - Numerical study
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 weightResults of a numerical study of the behavio...
Economic Theory
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Heteroscedastic regression in robust econometrics
This paper studies asymptotic versions of heteroscedasticity tests for random regression errors for the instrumental weighted variables estimator, which is a robustification of the instrumental variables w...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
White´s estimator of covariance matrix for instrumental weighted variables
Under heteroscedasticity of the error terms the significance of explanatory variables in a linear regression model have to be established employing the White´s estimator of covariance matrix of regression coefficients, coefficients estimated...
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Instrumental weighted variables under heteroscedasticity Part I - Consistency
The proof of consistency instrumental weighted variables, the robust version of the classical instrumental variables is given. It is proved that all solutions is compared with two other estimators of the t...
Economic Theory
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
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