Identification with interruptions as an anti-bursting device
Influence of contamination level deviations on the test error probabilities
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 of the corresponding normal equations are contained, with high probability, in a ball, the radius of which can be selected - asymptotically - arbitrarily small. Then also -consistency is proved. An extended numerical study (the Part II of the paper) offers a picture of behavior of the estimator for finite samples under various types and levels...
Instrumental weighted variables under heteroscedasticity. Part II – Numerical study
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...