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Multicollinear effects of weighted least squares regression

Author

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  • Dorsett, Dovalee
  • Gunst, Richard F.
  • Gartland, Eugene C.

Abstract

Weighted least squares estimators, such as those arising from certain variance stabilizing transformations and robust regression procedures, alter the multicollinear structure of the original matrix of predictor variables. We investigate the effects of weighted least squares on the eigenvalues and the spectral condition number of the original correlation matrix of predictor variables.

Suggested Citation

  • Dorsett, Dovalee & Gunst, Richard F. & Gartland, Eugene C., 1983. "Multicollinear effects of weighted least squares regression," Statistics & Probability Letters, Elsevier, vol. 1(4), pages 207-211, June.
    • Handle: RePEc:eee:stapro:v:1:y:1983:i:4:p:207-211
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    Cited by:

    1. Li Liu & Xianfeng Hao & Yudong Wang, 2024. "Solving the Forecast Combination Puzzle Using Double Shrinkages," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 714-741, June.

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