When there are some influential observations present in a data set (such as outliers or leverage points), the use of some robust method may be desirable for being able to draw relevant conclusions from an econometric analysis. In order to use these methods properly, we need some diagnostic tools. To be able to derive these tools theoretically, we first need to know the form of the asymptotic representation of corresponding estimator. This thesis derives the asymptotic representation of the estimator obtained by the method of least weighted squares under the assumption of heteroskedastic residuals. The tight- ness of the estimator and its asymptotic representation under several levels of contamination is also shown in a simulation study.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:343268 |
| Date | January 2016 |
| Creators | Raušová, Magdaléna |
| Contributors | Víšek, Jan Ámos, Hanus, Luboš |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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