Asymptotic Properties of the Weighted Least Squares Estimator Under Moments Restriction

Bayram, Deniz and Dayé, Modeste (2014): Asymptotic Properties of the Weighted Least Squares Estimator Under Moments Restriction.

Abstract

The aim of this work is to review the paper by Hellerstein & Imbens (1982) focusing on the use of auxiliary data and a formal derivation of the asymptotic properties of the underlying Weighted Least Squares estimator.

• Item Type: MPRA Paper
• Language: English
• Keywords: auxiliary data, asymptotic properties, WLS.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling

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