Iterated weighted least squares in heteroscedastic lineaipmod%81è

DOI10.1080/02331889108802331zbMath0742.62063MaRDI 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 efficiency; simulation results; OLS; explanatory variables; large sample properties; squared residuals; heteroscedastic linear models; finite-sample properties; estimate of the covariance matrix; iterated weighted least squares; linear model with symmetrically distributed errors

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

Related Items

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

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