Slabě konsistentní odhad metodou nejmenších vážených čtverců při heteroskedasticitě.

Abstrakt

Weak rootconsistency of the Least Weighted Squares estimator of the coefficients of regression model is proved generally under the heteroscedasticity of error terms. The assumptions required for the weak $\sqrt{n}$-consistency are briefly discussed.

The roots of the heteroscedasticity are also critically considered

Klíčová slova

• Robustness
• implicit weighting
• weak root-consistency of estimate by the least weighted squares
• heteroscedasticity..