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Estimating the variance of the LAD regression coefficients

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  • Furno, Marilena

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File URL: http://www.sciencedirect.com/science/article/B6V8V-3SX829Y-9/2/418f8bf39a5921c9c830913befbf9962
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 27 (1998)
Issue (Month): 1 (March)
Pages: 11-26

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Handle: RePEc:eee:csdana:v:27:y:1998:i:1:p:11-26

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Web page: http://www.elsevier.com/locate/csda

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  1. Oja, Hannu, 1983. "Descriptive statistics for multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 1(6), pages 327-332, October.
  2. Tableman, Mara, 1994. "The asymptotics of the least trimmed absolute deviations (LTAD) estimator," Statistics & Probability Letters, Elsevier, vol. 19(5), pages 387-398, April.
  3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  4. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
  5. Buchinsky, Moshe, 1995. "Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study," Journal of Econometrics, Elsevier, vol. 68(2), pages 303-338, August.
  6. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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