Publication detail

Víšek, J. Á.: Consistency of the least weighted squares under heteroscedasticity

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Articles in journals with impact factor
Year: 2011
Number: 0
ISSN / ISBN:
Published in: Kybernetika 47 , 179-206.
Publishing place: Prague
Keywords: Robustness, heteroscedasticity, implicit weigting of order statistics, regression
JEL codes:
Suggested Citation:
Grants: 402/09/0557 Robustifikace vybraných ekonometrických metod, hl. řešitel: Prof. RNDr. Jan Ámos Víšek CSc.
Abstract: A robust version of the Ordinary Least Squares accommodating the
idea of weighting the order statistics of the squared residuals
(rather than directly the squares of residuals) is recalled and
its properties are studied. The existence of solution of the
corresponding extremal problem and the consistency under
heteroscedasticity is proved.

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