Asymptotic distribution of the weighted least squares estimator

DOI10.1007/BF00049402zbMATH Open0692.62012MaRDI QIDQ583756FDOQ583756

Authors: Jun Shao 

Publication date: 1989

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

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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

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

Cites Work

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

Cited In (30)

• Stochastic regression model with heteroscedastic disturbance
• Weighted least squares estimation in a binary random coefficient panel model with infinite variance
• Title not available (Why is that?)
• Asymptotics for a weighted least squares estimator of the disease onset distribution function for a survival\,-\,sacrifice model
• Jackknifing type weighted least squares estimators in partially linear regression models.
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• AMEMIYA'S FORM OF THE WEIGHTED LEAST SQUARES ESTIMATOR
• Normal maximum likelihood, weighted least squares, and ridge regression estimates
• Weak \(\sqrt n\)-consistency of the least weighted squares under heteroscedasticity
• Representation of the least weighted squares
• Asymptotic distribution of least squares estimator and a test statistic in linear regression models
• Jackknife inference for heteroscedastic linear regression models
• Some conditions on the design of a regression model
• Density weighted linear least squares
• Gaussian mixture models with concave penalized fusion
• On asymptotic distributions of several test statistics for familial relatedness in linear mixed models
• On the asymptotic distribution of weighted least squares estimators
• Title not available (Why is that?)
• SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR
• Iterative weighted semiparametric least squares estimation in repeated measurement partially linear regression models
• Asymptotic Distribution of the Hildreth-Houck Estimator
• An asymptotic theory for weighted least-squares with weights estimated by replication
• Title not available (Why is that?)
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Ordinary and weighted least-squares estimators
• Iterative weighted least-squares estimates in a heteroscedastic linear regression model
• Inference for nested error linear regression models with unequal error variances
• Resurrecting weighted least squares
• An asymptotic theory for semiparametric generalized least squares estimation in partially linear regression models
• Asymptotics of S-weighted estimators

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