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Iterated WLS using residuals for improved efficiency in the linear model with completely unknown heteroskedasticity

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  • van der Genugten, B.B.

    (Tilburg University, Faculty of Economics)

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  • van der Genugten, B.B., 1990. "Iterated WLS using residuals for improved efficiency in the linear model with completely unknown heteroskedasticity," Research Memorandum FEW 454, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiurem:be7cf12d-9586-4793-9244-a3bbb4d2930a
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    References listed on IDEAS

    as
    1. van der Genugten, B.B., 1989. "A weak law of large numbers for m-dependent random variables with unbounded M," Research Memorandum FEW 412, Tilburg University, School of Economics and Management.
    2. van der Genugten, B.B., 1989. "A weak law of large numbers for m-dependent random variables with unbounded M," Other publications TiSEM c9d89842-5666-4986-a84f-6, Tilburg University, School of Economics and Management.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
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    Estimation; mathematische statistiek;

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