CONSISTENCY OF THE LEAST WEIGHTED SQUARES UNDER HETEROSCEDASTICITY

被引：0

作者：

Visek, Jan Amos ^{[1
,2
]}

机构：

[1] Charles Univ Prague, Dept Macroecon & Econometr, Inst Econ Studies, Fac Social Siences, Prague 11001 1, Czech Republic

[2] Acad Sci Czech Republ, Inst Informat Theory & Automat, Dept Econometr, CR-18208 Prague 8, Czech Republic

来源：

KYBERNETIKA | 2011年 / 47卷 / 02期

关键词：

robustness; weighting the order statistics of the squared residuals; consistency of the least weighted squares under heteroscedasticity; SENSITIVITY-ANALYSIS;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：179 / 206

页数：28

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