Weighted Least Squares and Adaptive Least Squares: Further Empirical Evidence
Type
04 - Beitrag Sammelband oder Konferenzschrift
Primary target group
Science
Created while belonging to FHNW?
Yes
Zusammenfassung
This paper compares ordinary least squares (OLS), weighted least squares (WLS), and adaptive least squares (ALS) by means of a Monte Carlo study and an application to two empirical data sets. Overall, ALS emerges as the winner: It achieves most or even all of the efficiency gains of WLS over OLS when WLS outperforms OLS, but it only has very limited downside risk compared to OLS when OLS outperforms WLS.