iterative re-weighetd least squares method

[tavera]

Hi
has anyone already used the iteratively re-weighetd least squares method which seems to be an adequate robust method for estimating a Meta Regression model ?
I wonder if this can be implemented easily with winrats.
Many thanks in advance
Christophe Tavéra

[TomDoan]

Is there a specific application that you had in mind?

[tavera]

Yes, I am working on the paper "Rose effect and the euro : is the magic gone ?", T. Havranek, Review of World Economics, 146(2): 2010, 241-261.
On page 247, the author suggests estimating the equation (3) of the paper with an iterative re-weighetd least squares method.
I don't really understand what is this procedure.
Chistophe Tavera

[TomDoan]

The standard RATS example ROBUST.RPF includes iterated weighted least squares for robust estimation, although, since RATS includes LAD directly through RREG, I would probably use that instead. (IWLS is often used to approximate LAD since it can be done with standard regressions, while LAD requires a specialized linear programming calculation).

[tavera]

many thanks Tom
Christophe Tavéra