kaal:claim:2389423-021

Weighted least squares regression depends on estimated weights, and contrary to the theory behind the method the exact weights are almost never determinable in real applications such as this study.

Source quote, verbatim
A downside of weighted LSLR methodology is its dependence on estimated weights. Contrary to the theory behind weighted LSLR methodology, in real applications, such as the application in this study, the exact weights are almost never exactly determinable.
From

Wulf A. Kaal, The Impact of Dodd-Frank Act Compliance Cost on the Hedge Fund Industry (2014), Methodology, p. 11
https://ssrn.com/abstract=2389423 · source PDF

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Wulf A. Kaal, The Impact of Dodd-Frank Act Compliance Cost on the Hedge Fund Industry (2014). SSRN: https://ssrn.com/abstract=2389423

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failuresupport: arguedfailure: indeterminacy of weights in weighted least squaresfamily: research-design-limitationresearch-methods

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