Instrumental weighted variables under heteroscedasticity. Part II – Numerical study

Jan Ámos Víšek

Kybernetika (2017)

  • Volume: 53, Issue: 1, page 26-58
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Víšek, Jan Ámos. "Instrumental weighted variables under heteroscedasticity. Part II – Numerical study." Kybernetika 53.1 (2017): 26-58. <http://eudml.org/doc/287963>.

@article{Víšek2017,
abstract = {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.},
author = {Víšek, Jan Ámos},
journal = {Kybernetika},
keywords = {heteroscedasticity of disturbances; numerical study of instrumental weighted variables},
language = {eng},
number = {1},
pages = {26-58},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Instrumental weighted variables under heteroscedasticity. Part II – Numerical study},
url = {http://eudml.org/doc/287963},
volume = {53},
year = {2017},
}

TY - JOUR
AU - Víšek, Jan Ámos
TI - Instrumental weighted variables under heteroscedasticity. Part II – Numerical study
JO - Kybernetika
PY - 2017
PB - Institute of Information Theory and Automation AS CR
VL - 53
IS - 1
SP - 26
EP - 58
AB - 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.
LA - eng
KW - heteroscedasticity of disturbances; numerical study of instrumental weighted variables
UR - http://eudml.org/doc/287963
ER -

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