Metodebevisregistrering

Robust WLS

Robust WLS combines weighted least squares — which corrects for known or estimated heteroscedasticity — with robust M-estimation that down-weights influential outliers. The result is a regression estimator that is simultaneously efficient under non-constant error variance and resistant to observations that would otherwise distort coefficient estimates.

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Kilderegistrering

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Robust Weighted Least Squares

Taksonomisk metoderegistrering · regression-model / econometrics

Huber, P. J. (1981). Robust Statistics. Wiley. · ISBN 978-0471418054
Greene, W. H. (2018). Econometric Analysis (8th ed.). Pearson. · ISBN 978-0134461366

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Relaterede metoder

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