Weak -consistency of the least weighted squares under heteroscedasticity
Jan Ámos Víšek (2011)
Acta Universitatis Carolinae. Mathematica et Physica
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Weak -consistency of the least weighted squares under heteroscedasticity
Editorial
Jaromír Antoch (2011)
Acta Universitatis Carolinae. Mathematica et Physica
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Consistency of the least weighted squares under heteroscedasticity
Jan Ámos Víšek (2011)
Kybernetika
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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.
Some Diagnostic Tools in Robust Econometrics
Jan Kalina (2011)
Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
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Highly robust statistical and econometric methods have been developed not only as a diagnostic tool for standard methods, but they can be also used as self-standing methods for valid inference. Therefore the robust methods need to be equipped by their own diagnostic tools. This paper describes diagnostics for robust estimation of parameters in two econometric models derived from the linear regression. Both methods are special cases of the generalized method of moments estimator based...