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Estimating optimal weights for instrumental variable methods
Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology. DEPARTMENT OF SYSTEMS AND CONTROL.
2001 (English)In: DIGITAL SIGNAL PROCESSING, ISSN 1051-2004, Vol. 11, no 3, 252-268 p.Article in journal (Refereed) Published
Abstract [en]

The accuracy of the instrumental variable approach to parameter estimation (also called correlation analysis) can be significantly improved by optimally weighting the estimating equations. However, the optimal weight in general depends on unknown quantiti

Place, publisher, year, edition, pages
ACADEMIC PRESS INC , 2001. Vol. 11, no 3, 252-268 p.
Keyword [en]
parameter estimation; weighted instrumental variable methods; optimal weighting; nonparametric estimation of the optimal weighting; CONSISTENT COVARIANCE-MATRIX; MOMENTS ESTIMATORS; GENERALIZED-METHOD; AR PARAMETERS; HETEROSKEDASTICITY; AUTOCORRELATION; S
Identifiers
URN: urn:nbn:se:uu:diva-36556OAI: oai:DiVA.org:uu-36556DiVA: diva2:64455
Note
Addresses: Stoica P, Uppsala Univ, Dept Syst & Control Informat Technol, Uppsala, Sweden. Uppsala Univ, Dept Syst & Control Informat Technol, Uppsala, Sweden. Royal Inst Technol, Dept Signals Sensors & Syst, SE-10044 Stockholm, Sweden.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2011-01-13

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