Asymptotic distribution of the weighted least squares estimator

DOI10.1007/BF00049402zbMath0692.62012MaRDI QIDQ583756

Jun Shao

Publication date: 1989

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

moment conditionsasymptotic distribution of the weighted least squares estimatorconsistent estimator of the asymptotic covariance matrixerror distributionsheteroscedastic linear regression model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (8)

Jackknife inference for heteroscedastic linear regression models ⋮ Iterative weighted semiparametric least squares estimation in repeated measurement partially linear regression models ⋮ Ordinary and weighted least-squares estimators ⋮ Inference for nested error linear regression models with unequal error variances ⋮ Some conditions on the design of a regression model ⋮ Iterative weighted least-squares estimates in a heteroscedastic linear regression model ⋮ An asymptotic theory for semiparametric generalized least squares estimation in partially linear regression models ⋮ Jackknifing type weighted least squares estimators in partially linear regression models.

Cites Work

• Adapting for heteroscedasticity in linear models
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
• Estimation for a linear regression model with unknown diagonal covariance matrix
• Estimating Heteroscedastic Variances in Linear Models

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