Efficiency of iterated WLS in the linear model with completely unknown heteroskedasticity

DOI10.1111/j.1467-9574.1993.tb01411.xzbMath0779.62054OpenAlexW2125097959MaRDI QIDQ3142169

B. B. Van Der Genugten

Publication date: 19 January 1994

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.1993.tb01411.x

zbMATH Keywords

linear modelasymptotic efficiencyordinary least squareserror varianceunknown heteroskedasticityincreasing sample sizeestimate of the covariance matrixiterated weighted least squaressymmetrically distributed errorsweighted sum of squared residuals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Software, source code, etc. for problems pertaining to statistics (62-04) Linear regression; mixed models (62J05)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A central limit theorem for m-dependent random variables with unbounded m
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Iterated weighted least squares in heteroscedastic lineaipmod%81è

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