Timeline for Weighted regression
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
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| Sep 30, 2014 at 10:09 | comment | added | Adam Bailey | @AndrewM This point happens to address an unanswered question of mine: stats.stackexchange.com/questions/90785/… You might like to post an answer. | |
| Sep 30, 2014 at 9:23 | comment | added | Andrew M | You could also do both--use the weights and then use robust standard errors to guard against any errors in the weights or additional heteroscedasticity not captured by the weights. In fact, for the purposes of getting asymptotically consistent coefficient and standard error estimates, it doesn't actually matter what weights you use, as long as you use robust standard errors. However, YFSMMV (your finite sample mileage may vary). | |
| Aug 18, 2014 at 20:12 | comment | added | Adam Bailey | @Chinook WLS is not the only method to address heteroscedasticity. You could also consider using OLS with robust standard errors, which has the advantage that it does not require identifying the form of the heteroscedasticity. Re my last para., if you do use WLS you potentially have two pieces of information that could be useful in identifying the form of heteroscedasticity as a basis for determining weightings: a) the pattern of the OLS residuals; b) the known standard error of $y.hat$. So the latter could be relevant, but should not alone determine the weightings. | |
| Aug 18, 2014 at 18:34 | comment | added | Chinook | Mr. Bailey: Thank you. I appreciate your discrimination among multiple sources of heteroscedasticity. More generally, is WLS only useful to overcome heteroscedasticity, or can WLS be used without bias or loss of precision when the uncertainty in the y-variable is known and used as a weight (weight = 1/var(y))? I not sure if WLS is the "default" method just because we happen to know the uncertainty in the y-variable. It sounds like your last paragraph is describing "iteratively reweighted least squares." In this case, the known uncertainty in the y-variable is not used at all, right? | |
| Aug 18, 2014 at 17:13 | history | answered | Adam Bailey | CC BY-SA 3.0 |