Asymptotic Representation Of The Instrumental Weighted Variables - Theory And Practice: Part II - numerical study

Abstract

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 under various frameworks. The results are given both in the ''compressed'' form of empirical means and empirical mean square errors of the estimators (computed for the simulated data-sets) as well as in the form of patterns of their empirical distributions.

Keywords

• Robustness
• instrumental variables
• implicit weighting
• asymptotic representation of the instrumental weighted variables.