Properties of the QME under asymmetrically distributed disturbances
AbstractThe quadratic mode regression estimator has been suggested for truncated regression models where symmetry characterizes the distribution of disturbances. In this paper the estimator is shown to be consistent and asymptotically normal distributed under asymmetrically distributed disturbances.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 52 (2001)
Issue (Month): 4 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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