Anyone have insight into when total least squares (TLS) should be used, instead of ordinary least squares (OLS)? I have to think the topic has come up in finance. Here's a reference, for example:
http://quantdevel.com/public/pdf/betterHedgeRatios.pdf
I see OLS used commonly here on Quantopian, but I'm wondering if sometimes it is applied inappropriately (e.g. in the computation of beta)?
Some code here might be handy as a start toward comparing methods, in particular the logging for vertical alignment.
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