Víšek, J. Á.: Consistency of the least weighted squares under heteroscedasticity
| Autor: | prof. RNDr. Jan Ámos Víšek CSc., |
|---|---|
| Typ: | Články v impaktovaných časopisech |
| Rok: | 2011 |
| Číslo: | 0 |
| ISSN / ISBN: | |
| Publikováno v: | Kybernetika 47 , 179-206. |
| Místo vydání: | Prague |
| Klíčová slova: | Robustness, heteroscedasticity, implicit weigting of order statistics, regression |
| JEL kódy: | |
| Citace: | |
| Granty: | 402/09/0557 Robustifikace vybraných ekonometrických metod, hl. řešitel: Prof. RNDr. Jan Ámos Víšek CSc. |
| Abstrakt: | 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. |
