02.3.2. Badly Weighted Least Squares—Solution

Douglas P. Wiens

Econometric Theory, 2003, vol. 19, issue 4, 701-703

Abstract: 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.

Date: 2003
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