The least weighted squares and its asymptotics
|Author:||Mgr. Magdaléna Raušová|
|Year:||2016 - summer|
|Leaders:|| prof. RNDr. Jan Ámos Víšek CSc.
|Work type:|| Economic Theory
|Awards and prizes:|
|Abstract:||When there are some influential observations present in a data set (such as
outliers or leverage points), the use of some robust method may be desirable
for being able to draw relevant conclusions from an econometric analysis. In
order to use these methods properly, we need some diagnostic tools. To be
able to derive these tools theoretically, we first need to know the form of the
asymptotic representation of corresponding estimator. This thesis derives the
asymptotic representation of the estimator obtained by the method of least
weighted squares under the assumption of heteroskedastic residuals. The tightness
of the estimator and its asymptotic representation under several levels of
contamination is also shown in a simulation study.