Víšek, J. Á. : Weak root-n-consistency of the least weighted squares under heteroscedasticity
| Autor: | prof. RNDr. Jan Ámos Víšek CSc., |
|---|---|
| Typ: | Články v recenzovaných časopisech |
| Rok: | 2010 |
| Číslo: | 2 |
| ISSN / ISBN: | 0001-7140 |
| Publikováno v: | Acta Universitatis Carolinae Mathematica et Physica 2/51, 71 - 82. |
| Místo vydání: | Prague |
| Klíčová slova: | Robustness, implicit weighting, weak root-n-consistency of estimate by the least weighted squares, heteroscedasticity |
| JEL kódy: | C13, C19 |
| Citace: | |
| Abstrakt: | Weak $\sqrt{n}$-consistency of the {\it Least Weighted Squares } estimator of the coefficients of regression model is proved generally under the heteroscedasticity of error terms. The assumptions required for the weak $\sqrt{n}$-consistency are briefly discussed. The roots of the heteroscedasticity are also critically considered. |
