Iterated weighted least squares in heteroscedastic lineaipmod%81è

DOI10.1080/02331889108802331zbMath0742.62063OpenAlexW2083192739MaRDI QIDQ3989500

B. B. Van Der Genugten

Publication date: 28 June 1992

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889108802331

zbMATH Keywords

asymptotic efficiencysimulation resultsOLSexplanatory variableslarge sample propertiessquared residualsheteroscedastic linear modelsfinite-sample propertiesestimate of the covariance matrixiterated weighted least squareslinear model with symmetrically distributed errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

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

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