NETMaths
Part BCSIR NET June 2023weighted-least-squares

Weighted least squares

Consider the simple linear regression model , where for i ≠ k and . The best linear unbiased estimator of is

  1. A.
  2. B.
  3. C.
  4. D.

Solution

Heteroscedastic errors: divide by to get with constant variance ; the BLUE is the plain mean of weighted least squares with weights .

The trap it tests

Execution slip

The idea was right. The computation was not.

Drill statements like this

Related counterexample: OLS is the BLUE in every linear model

More on this topic

From Linear Models and MultivariateGauss–Markov, regression, ANOVA basics

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