The least weighted squares and its asymptotics
| Autor: | Mgr. Magdaléna Raušová |
|---|---|
| Rok: | 2016 - letní |
| Vedoucí: | prof. RNDr. Jan Ámos Víšek CSc. |
| Konzultant: | |
| Typ práce: | Diplomová Ekonomická teorie |
| Jazyk: | Anglicky |
| Stránky: | 255 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/164981/ |
| Abstrakt: | 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. |
