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Least absolute error estimation in the presence of serial correlation

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  • Weiss, Andrew A.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4582D12-32/2/bb656a8287ff1ed1ad1553620a0f0750
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 44 (1990)
    Issue (Month): 1-2 ()
    Pages: 127-158

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    Handle: RePEc:eee:econom:v:44:y:1990:i:1-2:p:127-158

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

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    Cited by:
    1. Tae-Hwan Kim & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," Working Papers halshs-00793372, HAL.
    2. White, Halbert & Kim, Tae-Hwan, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series qt1s38s0dn, Department of Economics, UC San Diego.
    3. Wong, Wing-Keung & Bian, Guorui, 2005. "Estimating parameters in autoregressive models with asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 61-70, January.
    4. Johannes Tang Kristensen, 2012. "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers 2012-28, School of Economics and Management, University of Aarhus.
    5. Marilena Furno, 2012. "Tests for structural break in quantile regressions," AStA Advances in Statistical Analysis, Springer, vol. 96(4), pages 493-515, October.
    6. Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2013rwp-54, Yonsei University, Yonsei Economics Research Institute.
    7. Furno, Marilena, 2001. "LAD estimation with random coefficient autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 36(4), pages 511-523, June.

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