Resurrecting weighted least squares
From MaRDI portal
Publication:506038
DOI10.1016/J.JECONOM.2016.10.003zbMATH Open1443.62205OpenAlexW3125415288MaRDI QIDQ506038FDOQ506038
Michael Wolf, Joseph P. Romano
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
Recommendations
- Asymptotic distribution of the weighted least squares estimator
- Improving Survey-weighted Least Squares Regression
- Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity
- Weighted least squares estimates in partly linear regression models
- An asymptotic theory for weighted least-squares with weights estimated by replication
Cites Work
- Title not available (Why is that?)
- Models for Longitudinal Data: A Generalized Estimating Equation Approach
- Title not available (Why is that?)
- Title not available (Why is that?)
- Longitudinal data analysis using generalized linear models
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Bootstrapping regression models
- A note on Studentizing a test for heteroscedasticity
- Bootstrap and wild bootstrap for high dimensional linear models
- Title not available (Why is that?)
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Estimating Regression Models with Multiplicative Heteroscedasticity
- A Note on the Efficiency of Sandwich Covariance Matrix Estimation
- The wild bootstrap, tamed at last
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- Asymptotic inference under heteroskedasticity of unknown form
- More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
- Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
- Title not available (Why is that?)
- Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
- Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
- Title not available (Why is that?)
- Heteroskedasticity-robust inference in finite samples
Cited In (15)
- Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach
- Corrigendum: Small Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models
- Weighted residuals methods
- Heteroscedasticity testing after outlier removal
- Robust heteroskedasticity-robust tests
- Asymptotic distribution of the weighted least squares estimator
- Model averaging in a multiplicative heteroscedastic model
- Weighted linear regression models with fixed weights and spherical disturbances
- Efficiency gains in least squares estimation: A new approach
- Quantiles via moments
- Inference with difference-in-differences revisited
- Adaptive distributed inference for multi-source massive heterogeneous data
- How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
- Feasible generalized least squares using support vector regression
- Response surface method based on uniform design and weighted least squares for non-probabilistic reliability analysis
This page was built for publication: Resurrecting weighted least squares
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q506038)
