Ordinary and weighted least-squares estimators

DOI10.2307/3315839MaRDI QIDQ5203517zbMATH OpenOpenAlexFDO

Authors Jun Shao

Publication date 1990

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315839

zbMATH Keywords

adaptive estimatorasymptotic relative efficiencyheteroscedastic linear regression modelordinary least-squares estimatorrandom regressorsquared residualsweighted least-squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Recommendations

• Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity
• An asymptotic theory for weighted least-squares with weights estimated by replication
• Asymptotic distribution of the weighted least squares estimator
• Theory & Methods: Adaptive Estimation Using Weighted Least Squares
• Two new relative efficiencies of the weighted mixed estimator with respect to the ordinary least squares estimator in linear regression models

Cites work

• Adapting for heteroscedasticity in linear models
• An asymptotic theory for weighted least-squares with weights estimated by replication
• Asymptotic distribution of the weighted least squares estimator
• Bootstrapping regression models
• Estimating Heteroscedastic Variances in Linear Models
• Estimation for a linear regression model with unknown diagonal covariance matrix

Cited in

(18)

• Weighted least squares fitting using ordinary least squares algorithms
• On the variance of the feasible weighted least squares estimator
• Statistical measures for ordinary least squares using the \({\alpha}\)Q algorithm
• Weighted least squares estimation of the linear probability model, revisited
• Jackknifing type weighted least squares estimators in partially linear regression models.
• Individual weighted excess and least square values
• Normal maximum likelihood, weighted least squares, and ridge regression estimates
• Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae
• scientific article; zbMATH DE number 3923899 (Why is no real title available?)
• scientific article; zbMATH DE number 3936267 (Why is no real title available?)
• Applied regression analysis bibliography update 1990-91
• AMEMIYA'S FORM OF THE WEIGHTED LEAST SQUARES ESTIMATOR
• Theory & Methods: Adaptive Estimation Using Weighted Least Squares
• scientific article; zbMATH DE number 6775495 (Why is no real title available?)
• Efficiency gains in least squares estimation: a new approach
• A geometric analysis of when fixed weighting schemes will outperform ordinary least squares
• Iterative weighted least squares estimators
• An asymptotic theory for semiparametric generalized least squares estimation in partially linear regression models

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