Robust econometric models - simulation analysis of the LEast Weighted Squares
|Author:||Bc. Jaroslav Hlávka|
|Year:||2007 - summer|
|Leaders:|| prof. RNDr. Jan Ámos Víšek CSc.
|Consultants:|| prof. Ing. Miloslav Vošvrda CSc.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This text is focused on advancements in the field of robust econometrics.
First we will introduce the basics of regression analysis. The Ordinary Least squares will be shown as inefficient under violations of classical assumptions. In the next part of this text, robust properties will be introduced. The most important robust methods will be described. In the end an analysis will examine the properties of the most recent method of Least Weighted Squares.
|Downloadable:|| Bachelor Thesis of Jaroslav Hlávka