Questions tagged [wls]
The wls tag has no usage guidance.
18
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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 ...
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3
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1
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326
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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 ...
- 31
3
votes
1
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504
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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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2
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1
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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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0
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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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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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1
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What is the matrix $(X'\Omega^{-1}X)$ in Generalized Least Square / Weighted Least Square? [closed]
What is the matrix $(X'\Omega^{-1}X)$ X) in Generalized Least Square / Weighted Least Square?
More precisely,
We know:
- 23
1
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0
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165
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Weighted least square regression - different ways of estimating weights
Newbie here.
I have a question regarding WLS regression.
Specifically, I've come across different ways of estimating weights in WLS regression, the most frequent ones being:
...
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vote
0
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Weighted Least Squares, why $Var(ε_i/ \sqrt(x_i)|x_i)=1/x_i \times Var(ε_i|x_i)$?
In Weighted Least Squares we assume that $Var(ε_i|x_i)=σ^2\times x_i$. Then we divide our regression model $yi=a+b_1x_i+ε_i$ by $\sqrt{(x_i)}$, such that the "normalized" model variance is $...
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65
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Dealing with Heteroskedasticity in Estimated Dependent Variable model
I work on my research in finance concerning pricing of green bonds and I am running a two stage model.
Stage 1 regression is an unbalanced panel fixed effects estimation. For each of my 100 green ...
1
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0
answers
72
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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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1
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0
answers
723
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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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0
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1
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86
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How critical/serious is the heteroscedasticity in my data (Breusch-Pagan test significant at p=.03)?
edit below
I am doing this analysis for the first time. How concerned should I be about heteroscedasticity in my data? Here's the scatterplot of predicted values vs residuals:
The Breusch-Pagan test ...
- 11
0
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0
answers
8
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Why does `systemfit` yield identical results for OLS and WLS?
I am estimating a system of seemingly unrelated regressions (SUR) using the systemfit package in R. Each of the equations have one unique regressor and one common ...
- 67.5k
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15
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Prediction Interval formula for WLS regression
I have been unable to find a non-matrix notation formula to calculate prediction interval for a weighted least squares regression. For OLS, I have
$$y = \hat y \pm t\times \sqrt{\left(\textrm{MSE}\...
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1
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32
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change in p-value (significance) of the interaction term in moderated regression after using WLS instead of OLS
I am running a moderated regression, N = 1515. I have one outcome variables, one moderator, one predictor and 5 controls. I am using SPSS for my analysis. I first performed linear regression to check ...
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0
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0
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195
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Do residuals need to be normally distributed to carry out Weighted Least Square (WLS) Regression?
First of all, I have to admit I am here because I am struggling with my dissertation. With this disclaimer out of the way, here is my problem:
I am trying to carry out multiple regression analysis but ...
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0
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1
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819
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Weights to use for a Weighted Least Squares model regarding tests/deaths
I'm currently doing an imaginary project where I'm investigating a possible correlation between the number of tests done for a specific disease and the number of deaths caused by said disease. I'm ...
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