<p>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 classical instrumental variables as well as  IWV were introduced and the idea of...</p>

Paper recalls motivation for generalized method of moments (GMM) as well as the idea estimated generalized method of moments. Having demonstrated the danger of underrating the heteroscedasticity of disturbances and recalling Cragg's idea of improvement of estimation under heteroscedasticity, it...