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02.3.2. Badly Weighted Least Squares—Solution

Published online by Cambridge University Press:  01 August 2003

Douglas P. Wiens
Douglas P. Wiens
Affiliation:
University of Alberta, Edmonton, Alberta
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Extract

Badly weighted least squares—solution.An excellent solution was independently proposed by Geert Dhaene. A proof for the case p = 1 based on the convexity of Laplace transforms was also provided by Koenker and Portnoy, the posers of the problem.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 4 , August 2003 , pp. 701 - 703
Copyright
© 2003 Cambridge University Press

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