Methodological analysis derives parameter estimators and sampling variances in heteroscedastic models, indicating improved precision for non-uniform data.
H. Theil, Estimates and Their Sampling Variance of Parameters of Certain Heteroscedastic Distributions, Revue de l'Institut International de Statistique / Review of the International Statistical Institute, Vol. 19, No. 2 (1951), pp. 141-147
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Henri Theil (1951) studied this question.
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