An adaptive estimator is presented by using probability weighted moments as weights rather than conventional estimates of variances for unknown heteroscedastic errors while estimating a heteroscedastic linear regression model. Empirical studies of the data generated by simulations for normal, uniform, and logistically distributed error terms support our proposed estimator to be quite efficient, especially for small samples.
Muhammad, Faqir; Aslam, Muhammad; and Pasha, G.R.
"Adaptive Estimation of Heteroscedastic Linear Regression Model Using Probability Weighted Moments,"
Journal of Modern Applied Statistical Methods:
2, Article 15.
Available at: http://digitalcommons.wayne.edu/jmasm/vol7/iss2/15