Detail publikace

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.

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