Resurrecting weighted least squares

DOI10.1016/j.jeconom.2016.10.003zbMath1443.62205OpenAlexW3125415288MaRDI QIDQ506038

Joseph P. Romano, Michael Wolf

Publication date: 30 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.10.003

zbMATH Keywords

conditional heteroskedasticityweighted least squaresHC standard errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models, Weighted linear regression models with fixed weights and spherical disturbances, Feasible generalized least squares using support vector regression, Robust heteroskedasticity-robust tests, How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?, Inference with difference-in-differences revisited, Quantiles via moments, Model averaging in a multiplicative heteroscedastic model, Heteroscedasticity testing after outlier removal, Efficiency gains in least squares estimation: A new approach

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