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Weighted least squares estimates in partly linear regression models


  • Schick, Anton


This paper constructs root-n consistent weighted least squares estimates with random weights of the finite-dimensional parameter in the partly linear regression model with heteroscedastic errors. These new estimates have smaller asymptotic dispersion than the least squares type estimates previously constructed in these models.

Suggested Citation

  • Schick, Anton, 1996. "Weighted least squares estimates in partly linear regression models," Statistics & Probability Letters, Elsevier, vol. 27(3), pages 281-287, April.
  • Handle: RePEc:eee:stapro:v:27:y:1996:i:3:p:281-287

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    References listed on IDEAS

    1. Bartoszewicz, J., 1987. "A note on dispersive ordering defined by hazard functions," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 13-16, September.
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    Cited by:

    1. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.


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