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356 – Financial Time Series Analysis
Weighted Least Squares Estimation with Sampling Weights
Hee-Choon Shin
National Center for Health Statistics
A set of unweighted normal equations assume that the response variable of each equation is equally reliable and should be treated equally. When there is a reason to expect higher reliability in response variable in some equations, we use weighted least squares (WLS) to give more weights to those equations. For an analysis of a survey data, sampling weights, as a relative importance variable, should be used for unbiased and efficient estimates. We will briefly go over the least squares theory and related issues, and propose a specific form of "weight" variable when we apply the sampling weights to the normal equations. The National Health and Nutrition Examination Survey (NHANES), a periodic survey conducted by the National Center for Health Statistics (NCHS), Centers for Disease Control and Prevention (CDC) will be analyzed to demonstrate the proposed approach.