Multicollinear effects of weighted least squares regression

Dovalee Dorsett, Richard F. Gunst and Eugene C. Gartland

Statistics & Probability Letters, 1983, vol. 1, issue 4, 207-211

Abstract: Weighted least squares estimators, such as those arising from certain variance stabilizing transformations and robust regression procedures, alter the multicollinear structure of the original matrix of predictor variables. We investigate the effects of weighted least squares on the eigenvalues and the spectral condition number of the original correlation matrix of predictor variables.

Keywords: Biased; estimation; robust; regression; spectral; condition; number (search for similar items in EconPapers)
Date: 1983
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