Loading...
Please wait, while we are loading the content...
Similar Documents
Printed in great britain an asymptotic theory for weighted least-squares with weights estimated by replication.
| Content Provider | CiteSeerX |
|---|---|
| Author | Daren Cline, B. H. Carroll, J. |
| Abstract | We consider a heteroscedastic linear regression model with replication. To estimate the variances, one can use the sample variances or the sample average squared errors from a regression fit. We study the large-sample properties of these weighted least-squares estimates with estimated weights when the number of replicates is small. The estimates are generally inconsistent for asymmetrically distributed data. If sample variances are used based on m replicates, the weighted least-squares estimates are inconsistent for m = 2 replicates even when the data are normally distributed. With between 3 and 5 replicates, the rates of convergence are slower than the usual square root of N. With mss6 replicates, the effect of estimating the weights is to increase variances by ( m- 5) / ( m- 3) , relative to weighted least-squares estimates with known weights. |
| File Format | |
| Access Restriction | Open |
| Content Type | Text |
