Question 16 ( Suppose the error variance is a linear function of the explanatory variable X such th E(u,2) = s2 X;2 . Show how the method of weighted least square regression is superi to OLS in this case.

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
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Chapter4: Eigenvalues And Eigenvectors
Section4.6: Applications And The Perron-frobenius Theorem
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Question 16
Suppose the error variance is a linear function of the explanatory variable X such th
E(u,2) = s2 X;2 . Show how the method of weighted least square regression is superī
to OLS in this case.
Transcribed Image Text:Question 16 Suppose the error variance is a linear function of the explanatory variable X such th E(u,2) = s2 X;2 . Show how the method of weighted least square regression is superī to OLS in this case.
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