Questions tagged [wls]

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Dealing with Heteroskedasticity: when to use WLS vs Box-Cox/Box Tidwel Transformation

Suppose you are fitting a linear model which has heteroskedastic (non-constant) residuals. I have read that there are a number of ways of dealing with this situation, including Weighted Least Squares (...
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9 views

Partial least square

In the context of confirmatory factor analysis, structural equation modeling, & predictor space dimension reduction. PLS is a supervised dimension reduction procedure, since it summarize the ...
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48 views

Formulas for multivariate meta-regression

everyone! I'm digging in meta-regression and doing hand calculations using WLS to get better understanding of the topic. I'm fine with calculations for univariative model (that is, 1 covariate is ...
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20 views

Appropriate weighting factor in weighted least squares regression

I'd like to construct a regression model with expenditure on a certain public service (a continuous variable in £s) as the predictor, and productivity (represented as a continuous variable on an index)...
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58 views

Reasons for markedly different results using MLR vs. WLSMV in CFA?

A scale I examined has a 6-point likert scale and detailed anchor points. In addition, the items are distributed skew. I did a CFA with MLR as well as with WLSMV. With WLSMV as estimator, the scale ...
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61 views

WLS vs Dummy variable coding for heteroscedasticity

I am a beginner level stat learner (with graduate training in Applied Math) I have just read a sage book which states the following: "Dummy variables help address the issue of heteroscedasticity in ...
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1answer
277 views

Confidence Interval of the mean response for Weighted Least Squares (WLS)

I know that the confidence interval of the mean response for OLS is: $$ \hat{y}(x_0) - t_{\alpha /2, df(error)}\sqrt{\hat{\sigma}^2\cdot x_0'(X'X)^{-1}x_0} $$ $$ \leq \mu_{y|x_0} \leq \hat{y}(x_0) + ...
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161 views

Comparing non-nested models estimated by Weighted Least Squares

It's very common for social scientists to have binary or ordinal indicators (e.g., yes/no interview items or likert-rated questionnaire items). It's also very common for them to model their ordered/...
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236 views

FA estimation (GLS/WLS/DWLS/ULS) and robustness of these estimators

I have cross-sectional survey data, with over 4000 observations on 41 variables, and there are no missing values. Variables are not normally distributed and assumptions of multinormal distribution are ...
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1answer
112 views

Quality of weighted least square fit

I fitted a linear regression with heteroscedescity using weighted least square method. How do I evaluate the quality of my fitting? I’m thinking by the p-value of slope/intercept. Or maybe because I ...
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3k views

Standard Errors with Weighted Least Squares Regression

For OLS, $\hat{\beta} = (X'X)^{-1}X'y$, and $\text{var}(\hat{\beta}) = (X'X)^{-1} X' \sigma^2 I X (X'X)^{-1}$. I can reproduce these "by hand". For WLS, with heteroskedastic errors and weights in ...