L1-estimation in linear models with heterogeneous white noise
AbstractNecessary and sufficient conditions are given for the consistency of the L1-estimator of the regression parameter [beta] in linear models with independent but possibly nonidentically distributed errors. The heteroscedastic case is treated as a particular case. The asymptotic normality of is also established, under assumptions which are weaker than in related results on the asymptotics of the sample median in heteroscedastic location models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 45 (1999)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Marc Hallin & Faouzi El Bantli, 1999. "L1-estimation in linear models with heterogeneous white noise," ULB Institutional Repository 2013/2083, ULB -- Universite Libre de Bruxelles.
- L1- - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - -
- Het - Public Economics - - - - -
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
- Marc Hallin & Ivan Mizera, 1997. "Unimodality and the asymptotics of M-estimators," ULB Institutional Repository 2013/2217, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Ivan Mizera, 2001. "Sample heterogeneity and the asymptotics of M-estimators," ULB Institutional Repository 2013/2103, ULB -- Universite Libre de Bruxelles.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Liese, F. & Vajda, I., 1994. "Consistency of M-Estimates in General Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 93-114, July.
- Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.