Steven Sanderson deals with my favorite failure of BLUE (mainly because I love the name):
Tired of your least-squares regression model giving wonky results because some data points shout louder than others? Meet Weighted Least Squares (WLS), the superhero of regression, ready to tackle unequal variance (heteroscedasticity) and give your model the justice it deserves! Today, we’ll dive into the world of WLS in R, using base functions for maximum transparency. Buckle up, data warriors!
Read on to see how Weighted Least Squares helps in data analysis when you have heteroskedasticity.