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Asymmetric Least Squares Estimation and Testing

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Author Info
Newey, Whitney K
Powell, James L
Abstract

This paper considers estimation and testing using location measures for regression m odels that are based on an asymmetric least-squares criterion functio n. These estimators have properties that are analogous to regression quantiles, but are easier to calculate, as are the corresponding test statistics. Asymmetric least-squares tests of homoskedasticity and s ymmetry compare quite favorably with other tests of these hypotheses in terms of asymptotic relative efficiency. Consequently, asymmetric least-squares estimation provides a convenient and relatively efficie nt method of characterizing the conditional distributi on of a dependent variable given some regressors. Copyright 1987 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 55 (1987)
Issue (Month): 4 (July)
Pages: 819-47
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Handle: RePEc:ecm:emetrp:v:55:y:1987:i:4:p:819-47

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