The least weighted squares with constraints and under heteroscedasticity

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10192060" target="_blank" >RIV/00216208:11230/13:10192060 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The least weighted squares with constraints and under heteroscedasticity

Popis výsledku v původním jazyce

Consistency of the least weighted squares with constraints under heteroscedasticity is proved and the patterns of numerical study (for the whole collection of situations) reveals its finite sample properties (on the background of the well-known least trimmed squares). The possibility of making idea about the spread of the estimator is briefly discussed in the framework of numerical study. The pros and cons of the estimator are also summarized. The loss of efficiency of the estimator, when there is no contamination, as well as an increase of variance caused by collinearity are also addressed. Behaviour of the estimator with constraints under various types and levels of contamination (when simultaneously the collinearity of design matrix and the heteroscedasticity of disturbances take place) is studied. The empirical mean square errors and empirical variances} are reported.

Název v anglickém jazyce

The least weighted squares with constraints and under heteroscedasticity

Popis výsledku anglicky

Consistency of the least weighted squares with constraints under heteroscedasticity is proved and the patterns of numerical study (for the whole collection of situations) reveals its finite sample properties (on the background of the well-known least trimmed squares). The possibility of making idea about the spread of the estimator is briefly discussed in the framework of numerical study. The pros and cons of the estimator are also summarized. The loss of efficiency of the estimator, when there is no contamination, as well as an increase of variance caused by collinearity are also addressed. Behaviour of the estimator with constraints under various types and levels of contamination (when simultaneously the collinearity of design matrix and the heteroscedasticity of disturbances take place) is studied. The empirical mean square errors and empirical variances} are reported.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-01930S" target="_blank" >GA13-01930S: Robustní procedury pro nestandardní situace, jejich diagnostika a implementace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

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Svazek periodika

20

Číslo periodika v rámci svazku

31

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

31

Strana od-do

21-51

Kód UT WoS článku

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EID výsledku v databázi Scopus

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